Description Usage Arguments Value Examples
port.wgt_align
1 | port.wgt_align(port, target_long = 1, target_short = -1)
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target_long |
long position's target total wgt |
target_short |
short position's target total wgt |
a port
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | library(data.table)
port <- getIndexCompWgt("EI000300", endT = as.Date(c("2018-01-31", "2018-03-31")))
data.table(port)[,.(sumwgt=sum(wgt)),by=date]
#- wgt aligning
port1 <- port[20:580,]
data.table(port1)[,.(sumwgt=sum(wgt)),by=date]
port1 <- port.wgt_align(port1)
data.table(port1)[,.(sumwgt=sum(wgt)),by=date]
#- deal with the longshort port
port2 <- port
port2[200:400,"wgt"] <- -0.01
port2$tag <- port2$wgt>0
data.table(port2)[,.(sumwgt=sum(wgt)),by=.(date,tag)]
port2 <- port.wgt_align(port2,target_long = 1, target_short = -2)
data.table(port2)[,.(sumwgt=sum(wgt)),by=.(date,tag)]
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