scorecard_update: Update scorecard data

In greatgray/scorecard: GGCM Model Performance Scorecard

Description

Creates a scorecard workspace file by updating all actual, benchmark, and out-of-sample model performance statistics. Uses a manual transaction history for actual performance. Uses a scorecard definition file (YAML format) to identify model names, types, and configuration settings for actual, buy-hold, and OOS analysis. For each model referred to in the scorecard definition file, there is a corresponding model configuration file (YAML format).

Usage

scorecard_update(scorecard_dir = NA, scorecard_file = NA,
  transaction_file = NA, date_start = "2012-01-01",
  init_date = "2016-08-01", switch_date = "2016-08-05", init_eq = 250000)

Arguments

scorecard_dir	the scorecard output directory for scorecard workspace archive
scorecard_file	the path to the scorecard configuration file (YAML)
transaction_file	the path to the transactions mapping file (CSV)
date_start	the analysis history time start, sufficiently long to accommoate model technical indicator generation
init_date	the partnership scorecard start date, used for buy-hold start and other purposes
switch_date	the first date for transactions to be considered part of the partnership model operations regime
init_eq	an initial equity value to be used for each model when computing out-of-sample performance

Value

nothing, side effects are writing workspace archive (an environment object) to disk

See Also

scorecard_produce

greatgray/scorecard documentation built on May 17, 2019, 8:34 a.m.