port.wgt_align: port.wgt_align

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

Description

port.wgt_align

Usage

port.wgt_align(port, target_long = 1, target_short = -1)

Arguments

target_long	long position's target total wgt
target_short	short position's target total wgt

Value

a port

Examples

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)]

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