stepwiseCorRank: Stepwise Correlation Rank

In pdrano/IKTrading: Custom indicators, signals, and rules

Description

computes a stepwise correlation ranking of vectors starting from a given subset of vectors

Usage

  stepwiseCorRank(corMatrix, startNames = NULL,
    stepSize = 1, bestHighestRank = FALSE)

Arguments

corMatrix	a correlation matrix
startNames	names of the vectors to start initial ranking from. If NULL, the stepSize amount of vectors with the lowest overall correlation will be the initial vectors to start the process. Default NULL
stepSize	how many vectors per ranking step (EG stepSize of 2 adds the 2 lowest correlation-ranked vectors to existing set at each step). Default 1
bestHighestRank	whether or not to assign the highest rank (number of vectors) to the minimum-correlated vector(s). TRUE variant used in Flexible Asset Allocation (FAA). Default FALSE

Value

a set of ranks for the given names of the vectors in the correlation matrix

References

http://quantstrattrader.wordpress.com/2014/10/27/introducing-stepwise-correlation-rank/
http://cssanalytics.wordpress.com/2014/10/27/flexible-asset-allocation-with-conditional-correlations/

pdrano/IKTrading documentation built on May 6, 2019, 10:51 p.m.