fwd.probs.wrapper: fwd.probs.wrapper

fwd.probs.wrapperR Documentation

fwd.probs.wrapper

Description

probability that forward return is positive given predictor is positive

Usage

fwd.probs.wrapper(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


vsrimurthy/EPFR documentation built on Sept. 19, 2024, 4:01 a.m.