alg_Anticor: Anticor Algorithm
In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description Usage Arguments Details Value Note References Examples

computes the Anticor algorithm by Borodin et al. 2004

1	alg_Anticor(returns, w)

`returns`	Matrix of price relatives, i.e. the ratio of the closing (opening) price today and the day before (use function `get_price_relatives` to calculate from asset prices).
`w`	window size (w ≥ 2)

The idea of Anticor is to exploit the mean-reversion property of asset prices. Based on two consecutive market windows of size w wealth is transferred from asset i to asset j if the growth rate of asset i is greater than the growth rate of asset j in the most recent window. Additionally, the correlation between asset i in the second last window and asset j in the last window must to be positive. The amount of wealth transferred from asset i to j depends on the strength of correlation between the assets and the strength of "self-anti-correlations" between each asset i.

Object of class OLP containing

`Alg`	Name of the Algorithm
`Names`	vector of asset names in the portfolio
`Weights`	calculated portfolio weights as a vector
`Wealth`	wealth achieved by the portfolio as a vector
`mu`	exponential growth rate
`APY`	annual percantage yield (252 trading days)
`sigma`	standard deviation of exponential growth rate
`ASTDV`	annualized standard deviation (252 trading days)
`MDD`	maximum draw down (downside risk)
`SR`	Sharpe ratio
`CR`	Calmar ratio

see also print.OLP, plot.OLP

The print method for OLP objects prints only a short summary.

Borodin, A.; El-Yaniv, R. & Gogan, V. Can we learn to beat the best stock, Journal of Artificial Intelligence Research, 2004 http://arxiv.org/abs/1107.0036

# load data
data(NYSE)
# select stocks
x = cbind(iroqu=NYSE$iroqu, kinar=NYSE$kinar)

# compute Anticor algorithm
Anticor = alg_Anticor(x, 30)
plot(Anticor)