Usage
FAA(prices, monthLookback = 4, weightMom = 1,
weightVol = 0.5, weightCor = 0.5, riskFreeName = NULL,
bestN = 3, stepCorRank = FALSE,
stepStartMethod = c("best", "default"),
geometric = TRUE, riskFreeInTie = TRUE,
returnWeights = FALSE, ...)Arguments
prices
a price history for assets intended to be
traded over the course of the simulation. Need not be
contemporaneous.
monthLookback
a monthly lookback period over which
to compute momentum, volatility, and correlations.
(Default 4)
weightMom
the weight to put on the momentum rank
in the calculation weightMom*rankMom + weightVol*rankVol
+ weightCor*rankCor (default 1)
weightVol
the weight of the volatility rank in the
above equation (default .5)
weightCor
the weight of the correlation rank in
the aforementioned equation (default .5)
riskFreeName
name of the security to be used as
the risk free rate. If NULL, will use a vector of zeroes.
(Default NULL) Recommended to use
quandClean('CHRIS/CME_US'), SHY, or VFISX
bestN
the top N securities to invest in. Will
invest in more than bestN in the event of a tie for the
lowest bestN.
stepCorRank
whether or not to use the stepwise
correlation rank (see stepwiseCorRank function). If
FALSE, ranks correlations based on sums of correlations
of each asset to all other assets. (Default FALSE)
stepStartMethod
the method to determine the
starting asset for the stepwise correlation rank
algorithm, if enabled. The 'best' argument chooses the
best ranked asset by the momentum and volatility weights,
while the 'default' method starts with the initial
lowest-correlated asset. (Default 'best')
geometric
whether or not to use geometric
compounding for returns (default TRUE)
riskFreeInTie
whether to allocate to the risk-free
asset in the event of a tie (default TRUE)
returnWeights
if TRUE, returns a length-two list
of weights and returns (default FALSE)