EAA: Elastic Asset Allocation (EAA)
In pdrano/IKTrading: Custom indicators, signals, and rules

Description Usage Arguments Value References

Asset allocation algorithm from Keller (2014-12-30). EAA performs asset selection and weighting based on weights for returns, volatility, and correlation to the equally-weighted universe.

  EAA(monthlyPrices, wR = 1, wV = 0, wC = 0.5, wS = 2,
    errorJitter = 1e-06, cashAsset = NULL,
    bestN = 1 + ceiling(sqrt(ncol(monthlyPrices))),
    enableCrashProtection = TRUE, returnWeights = FALSE,
    monthlyRiskFree = NULL)

`monthlyPrices`	a price series using monthly data
`wR`	the weight to place on returns (default 1)
`wV`	the weight for volatility (default 0)
`wC`	the weight for correlations (default .5)
`wS`	a selection aggressiveness weight. A weight of infinity will result in a single security. A weight of 0 will result in near equal weights of the selected securities. (default 2)
`errorJitter`	a small error term due to volatility in the denomiantor (default 1e-6)
`cashAsset`	the name (string) of the asset to be used as the cash asset. If NULL, will result in zeroes. (default NULL)
`bestN`	the number of securities to select every period (default 1 + square root of number of assets in universe)
`enableCrashProtection`	if enabled, will result in weights being multiplied by 1-n/(size of universe), where n is the number of securities with negative absolute returns (default TRUE)
`returnWeights`	whether or not to return the portfolio weights along with the returns in a list format (default FALSE)
`monthlyRiskFree`	if provided, a time series of prices of a risk-free asset (E.G.: IRX), for use in subtracting from asset returns to compute asset returns (default NULL)