Description Usage Arguments Value Author(s) References Examples
Find optimal f for a set of trades
1 2 |
lsp |
A |
constrFun |
A string naming the constraint function. |
constrVal |
The value of the constraint function that should not be exceeded. |
margin |
A vector of inital margin values for each event series. |
equity |
Current account equity. |
upper |
Upper f-value bounds (recycled, if necessary). |
lower |
Lower f-value bounds (recycled, if necessary). |
... |
Parameters to be passed to |
f |
Optimal f |
G |
GHPR at the optimal f |
Joshua Ulrich
Vince, Ralph (2007) The Handbook of Portfolio Mathematics.
New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model.
New York: John Wiley & Sons, Inc.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | data(port)
# DEoptim parameters (see ?DEoptim)
DEctrl <- list(NP=30, itermax=100)
# Unconstrainted Optimal f
res <- optimalf(port, control=DEctrl)
# Margin-constrainted Optimal f
resMargin <- optimalf(port, control=DEctrl,
equity=1e5, margin=-port$maxLoss*2)
## Not run:
# Ruin-constrained Optimal f
resRuin <- optimalf(port, probRuin, 0.1, DD=0.2,
horizon=4, control=DEctrl)
# Drawdown-constrained Optimal f
resDrawdown <- optimalf(port, probDrawdown, 0.1, DD=0.2,
horizon=4, control=DEctrl)
# Create snow socket cluster for two cores
library(snow)
clust <- makeSOCKcluster(2)
# Drawdown-constrained Optimal f using two cores
resSnow <- optimalf(port, probDrawdown, 0.1, DD=0.2,
horizon=4, snow=clust, control=DEctrl)
## End(Not run)
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