GenOutputs: Generate complete outputs for a list of signals, weights, and...

In hughshuwang/isocyanate: isocyanate (R-N=C=O)

Description

Generate complete outputs for a list of signals, weights, and trets

Usage

GenOutputs(weights, trets, returns, returns.period = c("Monthly",
  "Daily"), signal.names, bmk.ret = trets[[1]])

Arguments

weights	a list of xts dataframes, representing weights time series, generated from GenWeights, with names properly set as signal.names
trets	a list of xts series, total returns of signals, generated from GenTrets, also with names properly set as signal.names
returns	a xts dataframe with columns being assets traded in the portfolio, should have the same number of columns as member in weights
returns.period	string, indicating periodicty of returns, can be used to calculate daily performance metrics if passed a daily return dataframe and monthly weights
signal.names	should be passed from outside environment, a vector of string, previously set as unlist(lapply(signal.pack, function(x) colnames(x)[1])) being default

Value

a list of metrics dataframe and pnl xts object with proper colnames

hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.