factors_zscore: Compute z-scores of factors dataset

In chriszheng2016/zstmodelr: Stock Factor Models for China Stock Market Investment

Description

Compute z-scores of factors by scaling all factors according the aggregate formula and groups of fields.

Usage

factors_zscore(
  ds_factors,
  aggregate_formula = NULL,
  group_by = NULL,
  clean_extremes_method = c("sigma", "mad"),
  standard_method = c("normal", "rank"),
  ...
)

Arguments

ds_factors	a factors dataset.
aggregate_formula	a formula to aggregate zscores of all factors, e.g. ROCE + PB, NULL is default which means no need to compute aggregate zscore, but only compute zscore for all numeric factor fields.
group_by	a character vector of fields as group data for scaling, NULL is default value which means no group setting.
clean_extremes_method	method of cleaning extremes before standardization , i.e. "sigma","mad", by default "sigma". see details: clean_extremes_sigma, clean_extremes_mad
standard_method	method of standardize data, i.e. "normal","rank", by default "normal". see details: standardize_normal_scale, standardize_rank_scale
...	additional arguments to clean_extremes_method and standard_method.

Value

       a dataset of factors z-score

chriszheng2016/zstmodelr documentation built on June 13, 2021, 8:59 p.m.