FAA: Flexible Asset Allocation returns algorithm
In pdrano/IKTrading: Custom indicators, signals, and rules

Description Usage Arguments Value References

implements the Flexible Asset Allocation algorithm, by Keller and Van Putten (2012). FAA takes the best assets as ranked by a weighted rank-sum of momentum, volatility, and correlation. This implementation first filters on momentum above zero after performing all ranking and weight allocaations.

  FAA(prices, monthLookback = 4, weightMom = 1,
    weightVol = 0.5, weightCor = 0.5, riskFreeName = NULL,
    bestN = 3, stepCorRank = FALSE,
    stepStartMethod = c("best", "default"),
    geometric = TRUE, riskFreeInTie = TRUE,
    returnWeights = FALSE, ...)

`prices`	a price history for assets intended to be traded over the course of the simulation. Need not be contemporaneous.
`monthLookback`	a monthly lookback period over which to compute momentum, volatility, and correlations. (Default 4)
`weightMom`	the weight to put on the momentum rank in the calculation weightMomrankMom + weightVolrankVol + weightCor*rankCor (default 1)
`weightVol`	the weight of the volatility rank in the above equation (default .5)
`weightCor`	the weight of the correlation rank in the aforementioned equation (default .5)
`riskFreeName`	name of the security to be used as the risk free rate. If NULL, will use a vector of zeroes. (Default NULL) Recommended to use quandClean('CHRIS/CME_US'), SHY, or VFISX
`bestN`	the top N securities to invest in. Will invest in more than bestN in the event of a tie for the lowest bestN.
`stepCorRank`	whether or not to use the stepwise correlation rank (see stepwiseCorRank function). If FALSE, ranks correlations based on sums of correlations of each asset to all other assets. (Default FALSE)
`stepStartMethod`	the method to determine the starting asset for the stepwise correlation rank algorithm, if enabled. The 'best' argument chooses the best ranked asset by the momentum and volatility weights, while the 'default' method starts with the initial lowest-correlated asset. (Default 'best')
`geometric`	whether or not to use geometric compounding for returns (default TRUE)
`riskFreeInTie`	whether to allocate to the risk-free asset in the event of a tie (default TRUE)
`returnWeights`	if TRUE, returns a length-two list of weights and returns (default FALSE)