Usage
EAA(monthlyPrices, wR = 1, wV = 0, wC = 0.5, wS = 2,
errorJitter = 1e-06, cashAsset = NULL,
bestN = 1 + ceiling(sqrt(ncol(monthlyPrices))),
enableCrashProtection = TRUE, returnWeights = FALSE,
monthlyRiskFree = NULL)Arguments
monthlyPrices
a price series using monthly data
wR
the weight to place on returns (default 1)
wV
the weight for volatility (default 0)
wC
the weight for correlations (default .5)
wS
a selection aggressiveness weight. A weight of
infinity will result in a single security. A weight of 0
will result in near equal weights of the selected
securities. (default 2)
errorJitter
a small error term due to volatility
in the denomiantor (default 1e-6)
cashAsset
the name (string) of the asset to be
used as the cash asset. If NULL, will result in zeroes.
(default NULL)
bestN
the number of securities to select every
period (default 1 + square root of number of assets in
universe)
enableCrashProtection
if enabled, will result in
weights being multiplied by 1-n/(size of universe), where
n is the number of securities with negative absolute
returns (default TRUE)
returnWeights
whether or not to return the
portfolio weights along with the returns in a list format
(default FALSE)
monthlyRiskFree
if provided, a time series of
prices of a risk-free asset (E.G.: IRX), for use in
subtracting from asset returns to compute asset returns
(default NULL)