opt_constrain: opt_constrain

In raphael210/RFactorModel: A quantative tool for investment by factor Model

Description

build, set, add, clear constrains

Usage

constr_default(position = c(1, 1), box_each = c(0, 0.1))

clearConstr(constr, item)

addConstr_fctExp_sector(constr, each, ..., relative = 2,
  sectorAttr = defaultSectorAttr())

addConstr_fctExp_style(constr, FactorLists, min, max, relative = 1)

addConstr_group(constr, ..., relative = 0)

addConstr_box(constr, each, ..., relative = 0, priority = 0)

addConstr_position(constr, position, relative = 0)

addConstr_leverage(constr, leverage)

addConstr_turnover(constr, turnover_target = 0.25)

addConstr_trackingerror(constr, trackingerror_ann = 0.05)

addConstr_sus_lim(constr, ID = c("sus", "lim_up", "lim_low"))

addConstr_FFV(constr, TW_ratio = 3)

setConstr_group(constr, ..., relative)

setConstr_box(constr, each, ..., relative, priority)

setConstr_fctExp_sector(constr, each, ..., relative,
  sectorAttr = defaultSectorAttr())

setConstr_position(constr, position, relative)

setConstr_leverage(constr, leverage)

setConstr_fctExp_style(constr, FactorLists, min, max, relative)

setConstr_turnover(constr, turnover_target, ...)

setConstr_trackingerror(constr, trackingerror_ann, ...)

setConstr_sus_lim(constr, ID)

setConstr_FFV(constr, TW_ratio)

Arguments

constr	a list contained the constraining setting.
relative	integer of 0,1,2
FactorLists	a factorlists
min	a vector with the same length of FactorLists, or a scalar
max	a vector with the same length of FactorLists, or a scalar
priority	integer(only the max priority will make effect on the same stock), NA(not involved in the integeral priority, enforce to get the intersetion in the final result.)

Value

a list contain the constrains

Examples

constr <- constr_default()
clearConstr(constr,"box")
addConstr_fctExp_sector(constr, each=c(-0.05,0.05),ES33480000=c(-0.15,0.15))
factorlists <- buildFactorLists_lcfs(factorIDs = c("F000001","F000002"),factorRefine=refinePar_default("scale",NULL))
addConstr_fctExp_style(constr,factorlists,-0.1,0.1)
addConstr_group(constr,EI000905=c(0, 0.8))
addConstr_group(constr,EI000001=c(0.5, 0.5))
addConstr_group(constr,ES33220000=c(-0.1, 0.1),relative = 1)
constr <- constr_default()
constr <- addConstr_box(constr,each=c(0,0.035),relative = 0,priority = NA)
constr <- addConstr_box(constr,EQ002011=c(0,0.05),EQ000028=c(0,0.05),priority = 2)
constr <- addConstr_box(constr,EI399005=c(-0.2,0.2),relative = 1,priority = 1)
constr <- addConstr_box(constr,ES33370000=c(0,0.03),relative = 0,priority = 1)
constr <- addConstr_box(constr,ES33330000=c(-0.1,0.1),relative = 2,priority = 1)
addConstr_position(constr,position=c(0.8,1))
addConstr_leverage(constr,leverage=1.6) #for 130/30
addConstr_turnover(constr,turnover_target=0.5)
addConstr_trackingerror(constr,trackingerror_ann=0.08)
addConstr_sus_lim(constr,ID=c("sus","lim_up"))
addConstr_FFV(constr,TW_ratio = 3)

raphael210/RFactorModel documentation built on May 26, 2019, 11:06 p.m.