getWeights: Get weights from 'Strategy'-object

In quants-ch/Strategy: Generic Framework to Analyze Trading Strategies

Description

Gets the weights data of an object of class Strategy that was used within strategy calculation.

Usage

getWeights(object, from = NULL, until = NULL, which = NULL,
  use.backtest = FALSE)

## S4 method for signature 'Strategy'
getWeights(object, from = NULL, until = NULL,
  which = NULL, use.backtest = FALSE)

Arguments

object	An object of class Strategy.
from	The date in character format "yyyy-MM-dd" or as date-object from which weights shall be returned If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which weights shall be returned. If NULL, no restriction is made.
which	Names or column-number of assets that should be included. If NULL, all weights are returned.
use.backtest	If set to TRUE, the weights of the backtest are returned. Requires backtest to be executed first.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get weights data from MA(200)-Strategy
getWeights(myStrat.MA, from="2015-01-01", until="2015-12-31")

##End(Not run)

quants-ch/Strategy documentation built on May 26, 2019, 4:37 p.m.