Return.portfolio.cut: Based on Return.portfolio function, it adds loss cut...

In hyunyulhenry/HenryQuant: Favorite R Functions for Henry's Quantopia <http://henryquant.blogspot.kr/>

Description

If specific assets exceed the Loss Cut limit before rebalancing, sell all of its assets that exceed the cut point. Frequency of return should be shorter than frequency of weights.#'

Usage

Return.portfolio.cut(R, weights = NULL, loss_cut = -10,
  rebalance_on = c(NA, "years", "quarters", "months", "weeks", "days"),
  value = 1, verbose = FALSE, ...)

Arguments

R	An xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
weights	A time series or single-row matrix/vector containing asset weights, as decimal percentages, treated as beginning of period weights. See Details below.
loss_cut	Loss Cut point. Default point is -10 to avoid loss cut.
rebalance_on	Default "none"; alternatively "daily" "weekly" "monthly" "annual" to specify calendar-period rebalancing supported by endpoints.
value	The beginning of period total portfolio value. This is used for calculating position value.
verbose	If verbose is TRUE, return a list of intermediary calculations. See Details below.
...	any other passthru parameters. Not currently used.

Value

returns a time series of returns weighted by the weights, applied loss cut function.

Examples

## Not run: 
data(edhec)
Return.portfolio.cut(edhec["1997",1:5], rebalance_on="quarters", loss_cut = -0.10)

## End(Not run)

hyunyulhenry/HenryQuant documentation built on Nov. 15, 2019, 2:28 a.m.