Description Usage Arguments Details Value Author(s) Examples
backtesting the factor with some tables and charts using the 'IC' method.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 | seri.IC(TSFR, stat = c("pearson", "spearman"))
seri.IC.decay(TSF, stat = c("pearson", "spearman"), prd_lists = list(w1 =
lubridate::weeks(1), w2 = lubridate::weeks(2), m1 = months(1), m2 = months(2),
m3 = months(3), m6 = months(6)))
table.IC(TSFR, stat = c("pearson", "spearman"))
chart.IC(TSFR, Nbin = "day", stat = c("pearson", "spearman"))
chart.IC.decay(TSF, stat = c("pearson", "spearman"), prd_lists = list(w1 =
lubridate::weeks(1), w2 = lubridate::weeks(2), m1 = months(1), m2 = months(2),
m3 = months(3), m6 = months(6)))
MF.chart.IC(mTSFR, Nbin = "day", stat = c("pearson", "spearman"),
facet_by = c("date", "fname"))
MF.chart.IC.decay(mTSF, stat = c("pearson", "spearman"), ncol = NULL,
prd_lists = list(w1 = lubridate::weeks(1), w2 = lubridate::weeks(2), m1 =
months(1), m2 = months(2), m3 = months(3), m6 = months(6)))
MC.chart.IC.corr(TSFRs, stat = c("pearson", "spearman"))
MC.table.IC(TSFRs, stat = c("pearson", "spearman"))
MC.chart.IC(TSFRs, Nbin = "day", stat = c("pearson", "spearman"),
ncol = NULL)
MC.chart.IC.decay(TSFRs, stat = c("pearson", "spearman"),
prd_lists = list(w1 = lubridate::weeks(1), w2 = lubridate::weeks(2), m1 =
months(1), m2 = months(2), m3 = months(3), m6 = months(6)), ncol = NULL)
|
TSFR |
a TSFR object |
stat |
a character string,indicating the methods to compute IC,could be "pearson" or "spearman". |
TSF |
a TSF object |
prd_lists |
a list |
Nbin |
the number of the groups the timespan is cut to, when plotting the IC series.It could also be character of interval specification,See |
mTSFR |
a mTSFR object. See |
ncol |
a integer, specificate the number of cols of the multi-charts. |
TSFRs |
a list of object TSFR. See |
When caculating the correlation,two methods "pearson" and "spearman" is used.
seri.IC return a xts object, which containing the IC seri
seri.IC.decay return a xts object of 12 cols, which containing the decayed ICs seri
table.IC return a matirx of the statistical of the IC, containing rows: "IC.mean","IC.std","IC.IR","IC.t","IC.p","IC.hitRatio"
chart.IC return a ggplot object of IC time series(with its 12 months MA)
chart.IC.decay return a ggplot object of decayed ICs bar chart. (You can also use attr(re,"table")
to get the result table.)
MC.chart.IC.corr return a correlation chart of ICs of each TSFR
.
Ruifei.Yin
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 | modelPar <- modelPar.default()
TSFR <- Model.TSFR(modelPar)
re <- seri.IC(TSFR)
re <- seri.IC.decay(TSF)
IC.table <- table.IC(TSFR)
IC.chart <- chart.IC(TSFR,"3 month")
re <- chart.IC.decay(TSF)
attr(re,"table") # the result table
mTSFR <- getMultiFactor(TSR,FactorLists)
MF.chart.IC(mTSFR)
mp = modelPar.default()
factorIDs <- c("F000001","F000002","F000005")
FactorLists <- buildFactorLists_lcfs(factorIDs)
mps <- getMPs_FactorLists(FactorLists,modelPar=mp)
TSR <- Model.TSR(mp)
TSFRs <- Model.TSFs_byTS(MPs=mps,TS=TSR)
MC.chart.IC.corr(TSFRs)
MC.table.IC(TSFRs)
MC.chart.IC(TSFRs)
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