add_spread: Add Spread Costs to a Return Portfolio

In rengelke/tradr:

Description

Add Spread Costs to a Return Portfolio

Usage

add_spread(R, weights, spread_buy = -0.003, spread_sell = NULL)

Arguments

R	xts object containing asset returns
weights	xts object containing asset weights
spread_buy	number or numeric vector containing spread for buy orders
spread_sell	number or numeric vector containing spread for sell orders

Value

xts object containing spread corrected returns

Examples

add_spread(returns, weights, spread_buy = -0.005, spread_sell = -0.003)

rengelke/tradr documentation built on Jan. 2, 2022, 2:03 p.m.