calc_strat_headline_size: Calculates headline sizes of strategies given the size of the...
In yunching/tidymas: A collection of RMD utilities
calc_strat_headline_size R Documentation
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
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
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
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. 5, 2023, 1:42 p.m.
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.
| calc_strat_headline_size | R Documentation |
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
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
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
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.