GenTrets: Generate a list of total returns of the portfolio guided by...

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

Description

Generalized version for daily and monthly data, for fragmental time periods

Usage

GenTrets(weights, returns, returns.period = c("Monthly", "Daily"),
  sub.period = NULL)

Arguments

weights	a list of xts dataframes, representing weights time series, generated from GenWeights, 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
sub.period	vector of xts time index, can be indexed by xts objects, default NULL can only take monthly sub.period index for now, when the returns are daily, only get the first day of each month, raise error

Value

a list of xts series, total returns of signals, with names properly set as signal.names

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