stiFromSignal-class {portfolioSim} | R Documentation |
Class "stiFromSignal" is an interface that stores information regarding portfolio formation and trading to be used in determining trades during the simulation.
Objects can be created by calls of the form new("stiFromSignal",
...)
in.var
:"character"
representing a column in the data interface to be used the
"in.var" for creating portfolios.type
:"character"
representing the type of weight calculation to be used.size
:"characterOrNumeric"
representing the size of the portfolio to be created during the
simulation.sides
:"character"
containing
"long", "short", or both, indicating the type of portfolio to be
created.equity
:"numeric"
representing
the equity for the portfolio.target
:"environment"
representing the environment in which to search for the target portfolio.rebal.on
:"orderable"
containing the periods at which the portfolio should be rebalanced
during the simulation.trading.style
:"character"
representing the trading style to use during the simulation.
Defaults to "immediate".
Class "simTradesInterface"
, directly.
signature(.Object = "stiFromSignal")
:
Initializes the interface by setting the target environment.signature(object = "stiFromSignal", period
= "orderable", holdings = "portfolio", sim.data = "simData", vebose =
"logical")
: Returns an object of class "simTrades"
containing all the trades that should be made for this period.Jeff Enos jeff@kanecap.com