bbk: bbk

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

bbk

Description

standard model output

Usage

bbk(x, y, n = 1, w = 5, h = 5, u = NULL, v = F, g = 0, r = 2,
  s = NULL, b = F)

Arguments

x	= a matrix/data frame (predictors)
y	= a matrix/data frame (total return indices)
n	= a positive integer (flow window in days/months)
w	= a positive integer (return window in days/months)
h	= a positive integer (number of bins)
u	= a non-negative integer (0 = Sun, 1 = Mon, etc., the day you trade)
v	= a boolean (sum/compound)
g	= a non-negative integer (lag in days/months)
r	= a non-negative integer (delay in days/months)
s	= a string (index within which you trade)
b	= a boolean (spread changes/returns)

See Also

Other bbk: bbk.bin.rets.prd.summ, bbk.bin.rets.summ, bbk.bin.xRet, bbk.data, bbk.drawdown, bbk.fwdRet, bbk.holidays, bbk.matrix, bbk.summ, bbk.turnover

vsrimurthy/EPFR documentation built on Dec. 24, 2024, 5:20 a.m.