calc_strat_headline_size: Calculates headline sizes of strategies given the size of the...
In yunching/tidymas: A collection of RMD utilities
Description
Usage
Arguments
Value
Examples
Description
Calculates headline sizes of strategies given the size of the component trades by first summing the positive sizes and negative sizes separately. Then taking the higher number as the size
Usage
1
calc_strat_headline_size(strat_df)
Arguments
strat_df
A dataframe of strategies which are dataframes containing timeseries sizes of their component instruments. Columns should be 'date', 'strategy', 'instrument', 'size'
Value
A dataframe containing the size of the strategies daily
Examples
1
2
3
portfolios <- build_strategies(demo_strategies, as.Date("2016-01-01"), as.Date("2018-12-07"))
actual_pf_size <- convert_dur_size(portfolios$actual, portfolios$summary, demo_duration)
calc_strat_headline_size(actual_pf_size)
yunching/tidymas documentation built on Feb. 17, 2020, 5:13 a.m.
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Description Usage Arguments Value Examples
Description
Calculates headline sizes of strategies given the size of the component trades by first summing the positive sizes and negative sizes separately. Then taking the higher number as the size
Usage
1 | calc_strat_headline_size(strat_df)
|
Arguments
strat_df |
A dataframe of strategies which are dataframes containing timeseries sizes of their component instruments. Columns should be 'date', 'strategy', 'instrument', 'size' |
Value
A dataframe containing the size of the strategies daily
Examples
1 2 3 | portfolios <- build_strategies(demo_strategies, as.Date("2016-01-01"), as.Date("2018-12-07"))
actual_pf_size <- convert_dur_size(portfolios$actual, portfolios$summary, demo_duration)
calc_strat_headline_size(actual_pf_size)
|
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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