fwd.probs: fwd.probs

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

fwd.probs

Description

probability that forward return is positive given predictor is positive

Usage

fwd.probs(x, y, n, w, h, u, v, g, r)

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 boolean (sum/compound)
h	= a non-negative integer (lag in days/months)
u	= a non-negative integer (delay in days/months)
v	= a non-negative integer (0 = Sun, 1 = Mon, etc., the day you trade)
g	= a positive integer (return window in days/months)
r	= a string (index within which you trade)

See Also

Other fwd: fwd.probs.wrapper

vsrimurthy/EPFR documentation built on April 10, 2024, 10:10 p.m.