sf.daily: sf.daily

In vsrimurthy/EPFR: EPFR Quantitative Research Environment

sf.daily

Description

runs a daily stock-flows simulation FAST

Usage

sf.daily(x, y, n, w, h, u, v, g = 5, r, s = NULL, b)

Arguments

x	= a flowdate (first-return date, backtest start)
y	= a flowdate (first-return date, backtest end)
n	= a universe (e.g. "R1Mem", or c("EafeMem", 1, "CountryCode", "JP"))
w	= a variable (neutrality group)
h	= a variable (return)
u	= variable & lookback (e.g. c("1dFloMo", 3))
v	= a folder (data)
g	= an integer (number of bins)
r	= classif file
s	= an integer (NULL for daily or the day you trade, 0 = Sun, 1 = Mon, etc.)
b	= a positive integer (return window in days, can be missing)

See Also

Other sf: sf.bin.nms, sf.detail, sf.single.bsim, sf.subset, sf.underlying.data.bin, sf.underlying.data, sf.underlying.summ, sf

vsrimurthy/EPFR documentation built on April 26, 2024, 9:26 a.m.