indicator_expr_funs: Utils functions to facilitate defining indicator expr

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

Description

Functions are only used in defining indicator expr.

Usage

Lag(x, k = 1)

GrowthRate(x)

Ratio(x_numerator, y_denominator)

Demean(x)

Quarter_TTM(date, x, accumulated = TRUE)

Beta(y_dependent, x_independent)

RiskFreeRate(
  stock_db,
  indicator_code,
  period = c("day", "month", "quarter", "year")
)

Arguments

x	A numeric vector or array to compute.
k	A numeric to indicate lag direction, k>0 lag behind, k<0 lag ahead.
x_numerator	A numeric as numerator of ratio.
y_denominator	A non-zero numeric as denominator of ratio.
date	A date vector or array.
accumulated	A logic about whether specified data series is accumulated or not. Default is TRUE.
y_dependent	A dependent variable.
x_independent	A independent variable.
stock_db	A stock database object to operate.
indicator_code	A character code of indicator.
period	A character period of rate, e.g. "day", "month", "quarter", "year". Default is "day"

Details

In order to facilitate defining indicator expr, there are two kinds of expr functions:

• expr_funs to define customized indicator: calling function to generate a result series, like Lag, GrowthRate, Ratio, Demean, Quarter_TTM, Beta, etc.

• expr_funs to define dynamic indicator: RiskFreeRate provides dynamic time series from database.

Functions

• Lag: lag a series at k period. (k>0 lag behind, k<0 lag ahead)

• GrowthRate: compute growth rate of a series.

• Ratio: compute ratio of two series.

• Demean: substract mean from a series.

• Quarter_TTM: make a quarterly TTM(Trial Twelve Month) series.

• Beta: compute beta between two variable series

• RiskFreeRate: provide timeseries of dynamic indicator of riskfree rate.

Note

In order to be different form normal R function, we use CamelCase style for functions name.

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