PermMetrics: Generate metrics dataframe for permutation resampling

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

Description

Generate metrics dataframe for permutation resampling

Usage

PermMetrics(signal.bmk, n, inits, asset.ret, name.bmk, signal.altbmk)

Arguments

signal.bmk	single xts object, signal with DE rep
n	int number of resampling
inits	initial weights of the portfolio, in US, DM rep
asset.ret	xts object of returns of assets traded in the portfolio
name.bmk	string the name for the strategy we're interested in
signal.altbmk	xts object alternative benchmark signal for getting relative perf

Value

metric dataframe

Examples

  metrics.random <- PermMetrics(signal.hybrid, 5000, c(0, 0.34/0.49), asset.ret, 'hybrid')

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