CheckSignalRange | Check if all signals in a signal pack are in the right range |
CleanSubset | Clean a list of dataframe with same available 'clean' index |
CutSeriesQuantile | Cut range for one single series using quantiles |
CutSeriesRange | Cut range for one single series |
CutSignalRange | Cut range for one single signal |
DecompMetrics | Decompose the huge metrics dataframe into a list |
DEtoUD | Transfer DM and EM (original DRI) signal to US and DM ratio... |
DistSQ | Calculate Square Distance between ith and jth in Dens list |
DistUR | Calculate Utility Risk Distance between ith and jth in Dens... |
FacToStr | Convert factor columns to character string |
ForgeBullets | Forge a dataframe of bullets with proper colnames |
GenASH | Generate density list for groups using ASH |
GenASHBand | Generate Bootstrap Band for ASH |
GenBinShDens | Generate Binary Shrinked Groups' Densities |
GenBinShHC | Generate Binary Shrinked HC Clusters |
GenBivRet | Generate a list for bivariate returns |
GenBKDE | Generate density list for groups using BKDE KernSmooth |
GenBKDEBand | Generate Bootstrap Band for KernSmooth |
GenBoolSignal | Generate bool signal vector for a given continuous 0-1... |
GenCondGroups | Generate conditional groups based on bool signals and a... |
GenCoreMetrics | Get core performance metrics for monthly log returns |
GenEmpQuantile | Generate Quantile using Empirical Distribution for a... |
GenEmpQuantileVec | Generate Empirical Quantile for a vector with its own info |
GenFeatScale | Generate Feature Scaling score for a dataframe |
GenHC | Generate HC results for Shooting a Bullet for a Target |
GenInitSet | Generate Initial Set for a certain universe |
GenOutputs | Generate complete outputs for a list of signals, weights, and... |
GenPairName | Generate names for pair-wise matrix given individual names |
GenRelScore | Generate dynamic relative scores for input matrix |
GenRollPairMatrix | Generate Rolling Vectorized Pairwise Matrix |
GenSeqValue | Generate sequential value for the "i, j" point in a n squared... |
GenSpike | Generate scaled z scores for volatility spikes |
GenSubidxSD | Generate sub period index based on robust rolling std range... |
GenTrets | Generate a list of total returns of the portfolio guided by... |
GenTurnover | Generate two way turnover |
GenUpperIJ | Generate index list for upper triangular matrix of n-order... |
GenVarSet | Generate a set for variables in dataframe from quotemedia |
GenWeights | Generate a list of weight dataframes for a list of signals |
GenWsDE | Generate global weigths for US/Intl(DM/EM) using original DRI... |
GenWsUD | Generate global weights for US/Intl(DM/EM) (UD rep) |
GenZScore | Generate Z Score for a dataframe |
GetQuoteMedia | Get a raw dataframe from App.QuoteMedia.com |
GetVariable | Get a DataFrame for one variable given list of symbols and... |
GetXTS | Function Wrapper for getting an all numerical xts subject |
GroupMatToShlist | Trans Group Matrix to Shrinked List |
hello | Hello, World! |
IfPeriodEqual | Compare the start and end dates of two xts objects |
IfSpike | Generate binary output for volatility spikes |
MeltSubgroups | Melt one ticker in subgroup list to a vector for density... |
MixBmkSignal | Mixing a pack of signal with a single benchmark signal (i.e.... |
MixPackSignal | Mix signals in 2 packs (DM and EM packs) and cbind |
MonthlyAlpha | Generate monthly alpha series from daily returns |
MonthlyBeta | Generate monthly beta series from daily returns |
MonthlyRegres | Generate monthly last residual series from daily returns |
MonthlyRSq | Generate monthly R-Squared series from daily returns |
PermMetrics | Generate metrics dataframe for permutation resampling |
PlotDescHist | Plot a descriptive histogram for a series |
PlotFilterCompLine | Plot a Line Plot for Std Filter (for PE ratio filter) |
PlotGridMetrics | Plot a Grid for Perf Metrics |
PlotGridMetricsList | Plot Multiple Grids for a lit of Perf Metrics |
PlotHeatMap | Heat Map from ggplot2 for signal pack |
PlotLinePnls | Line Plot for PnL xts object using ggplot2::geom_line |
PlotPermMetrics | Plot hist and report stats for permutation resampling metrics... |
RetToMonthly | Function Wrapper for xts::apply.monthly |
RollingAlpha | Rolling apply fitted alpha/intcpt series of reg: ret~ret.mkt |
RollingBeta | Rolling apply fitted beta series of reg: ret~ret.mkt |
RollingRegres | Rolling apply last residual of reg: ret~ret.mkt |
RollingRSq | Rolling apply R-squared series of reg: ret~ret.mkt |
ShlistToGroupMat | Trans Shrinked List to Group Matrix |
SignalWrapper | Wrap up a general signal |
SplitStratName | Split the strategy name into a vector of 2 |
StdBinaryPack | Generate a list of signals, binary pack with if higher than... |
StdMonthlyPack | Generate a list of signals, standard pack including cont and... |
StrToNum | Convert string columns (w expressions) to numeric |
tibbleXTS | Transfer a xts object to a tibble with date (yearmon/date) |
UDtoDE | Transfer US and DM ratio signals to DM and EM (original DRI) |
VecAsymSP | Vectorize asymmetry of sum of products |
VecAsymVCOV | Vectorize asymmetry of covariance by simple difference |
VecBadVCOV | Vectorize covariance when the SPY is down |
VecSP | Vectorize Sum of Products for the upper tri matrix |
VecVCOV | Vectorize the upper tri part of vcov matrix for a dataframe |
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