GenWeights: Generate a list of weight dataframes for a list of signals
In hughshuwang/isocyanate: isocyanate (R-N=C=O)
Description
Usage
Arguments
Value
Description
Generate a list of weight dataframes for a list of signals
Usage
1
2
GenWeights(signal.pack, signal.rep = c("UD", "DE"), inits = NULL,
returns)
Arguments
signal.pack
list of signals with columns properly named, the first one
will be taken as the benchmark signal, each signal should be a xts object with
one or multiple columns, signal representation should match param signal.rep
signal.rep
string indicating signal representation, 'UD' means 2 series,
US signal and DM signal, 'DE' means 2 series, DM signal and EM signal (old DRI)
inits
vector of numerics, representing new weights c(us.init, dm.init)
returns
a xts dataframe with columns being assets traded in the portfolio, should
have the same number of columns as member in weights
Value
a list of weight dataframes/xts objects, with number of columns same as number of
columns in returns (returns of assets traded in the portfolio)
hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.
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Description Usage Arguments Value
Description
Generate a list of weight dataframes for a list of signals
Usage
1 2 | GenWeights(signal.pack, signal.rep = c("UD", "DE"), inits = NULL,
returns)
|
Arguments
signal.pack |
list of signals with columns properly named, the first one will be taken as the benchmark signal, each signal should be a xts object with one or multiple columns, signal representation should match param signal.rep |
signal.rep |
string indicating signal representation, 'UD' means 2 series, US signal and DM signal, 'DE' means 2 series, DM signal and EM signal (old DRI) |
inits |
vector of numerics, representing new weights c(us.init, dm.init) |
returns |
a xts dataframe with columns being assets traded in the portfolio, should have the same number of columns as member in weights |
Value
a list of weight dataframes/xts objects, with number of columns same as number of columns in returns (returns of assets traded in the portfolio)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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