AngularDistance: Angular distance metrics
In sa-ccr/Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies
View source: R/AngularDistance.R
AngularDistance R Documentation
Angular distance metrics
Description
Calculates the angular distance between a matrix of the track records of various assets/strategies. The sign of the correlation can be ignored for long/short portfolios.
Usage
AngularDistance(returns_matrix, long_short = FALSE)
Arguments
returns_matrix
a matrix containing the track records of the underlying assets/strategies.
long_short
a boolean value which results in the sign of the correlation being ignored, default value is FALSE
Value
A matrix containing the angular distance values.
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Lopez de Prado, Marcos, Codependence (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994
Examples
## calling AngularDistance() without an argument loads the historical edhec data
## for the "Short Selling" and "Convertible Arbitrage" strategies
returns_matrix = PerformanceAnalytics::edhec[,c("Short Selling","Convertible Arbitrage")]
angular_distance = AngularDistance(returns_matrix, long_short=FALSE)
sa-ccr/Trading documentation built on Feb. 23, 2024, 9:26 p.m.
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View source: R/AngularDistance.R
| AngularDistance | R Documentation |
Angular distance metrics
Description
Calculates the angular distance between a matrix of the track records of various assets/strategies. The sign of the correlation can be ignored for long/short portfolios.
Usage
AngularDistance(returns_matrix, long_short = FALSE)
Arguments
returns_matrix |
a matrix containing the track records of the underlying assets/strategies. |
long_short |
a boolean value which results in the sign of the correlation being ignored, default value is FALSE |
Value
A matrix containing the angular distance values.
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Lopez de Prado, Marcos, Codependence (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994
Examples
## calling AngularDistance() without an argument loads the historical edhec data
## for the "Short Selling" and "Convertible Arbitrage" strategies
returns_matrix = PerformanceAnalytics::edhec[,c("Short Selling","Convertible Arbitrage")]
angular_distance = AngularDistance(returns_matrix, long_short=FALSE)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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