calc_return_portfolio: Calculate Return Portfolios

In rengelke/tradr:

Description

Calculate Return Portfolios

Usage

calc_return_portfolio(
  R,
  weights,
  spread_buy = -0.003,
  spread_sell = NULL,
  wealth_index = FALSE,
  ...
)

Arguments

R	xts matrix object of 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
wealth_index	logical, weather to return a wealth index
...	parameters to pass to PerformanceAnalytics::Return.portfolio

Value

list containing portfolio returns; direct: direct calculation, rp: Return.Portfolio, rp_spread: Return.Portfolio including transaction costs

Examples

calc_return_portfolio(R, weights, spread_buy = -0.0035)

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