PortfolioEffectHFT (version 1.6)

optimization_forecast: Porfolio Optimization - Set Optimization Forecast

Description

Sets user-defined forecasted values for a given metric and returns modified optimizer object. By default value of the metric at time "t" is used as a forecast for "t+1".

Usage

optimization_forecast(optimizer, 				   metricType,
				   symbol,
				   value,
				   time)

Arguments

optimizer

Optimizer object created using optimization_goal( ) function

metricType

Choose forecast metric type: "Beta" - position beta, "Variance" - position variance, "Skewness" - position skewness, "Kurtosis" - position kurtosis, "Cumulant1" - position 1-th cumulant, "Cumulant2" - position 2-th cumulant, "Cumulant3" - position 3-th cumulant, "Cumulant4" - position 4-th cumulant

symbol

Unique identifier of an instrument

value

One dimensional vector of forecasted metric values.

time

One dimensional vector of time values (in milliseconds since the beginning of epoch).

Value

Examples

## Not run: 
# windowLength='10m'
#   
#   portfolio<-portfolio_create("2014-11-03 09:30:00","2014-11-03 16:00:00")
#   
#   # Add position AAPL and GOOG to portfolio
#   portfolio_addPosition(portfolio,"AAPL",100)
#   portfolio_addPosition(portfolio,"GOOG",200)
#   portfolio_settings(portfolio,resultsSamplingInterval=windowLength)
# 
# 
#   
# forecastingPortfolio=portfolio_create(portfolio )
# portfolio_settings(forecastingPortfolio,windowLength=windowLength)
# 
# 
#   fReturn=list()
#   for(symbol in portfolio_symbols(forecastingPortfolio)){
#     fReturn[[symbol]]=position_expectedReturn(forecastingPortfolio,symbol)
#     fReturn[[symbol]][,2]=c(fReturn[[symbol]][-1,2],fReturn[[symbol]][1,2])
#   }
#     
#   optimizerTest1<-optimization_goal(portfolio,goal="SharpeRatio", 
#   direction="maximize",forecastPortfolioWindow=windowLength,forecastExponentialWindow=windowLength)
#  
#   for(symbol in portfolio_symbols(portfolio)){
#     optimizerTest1=optimization_forecast(optimizerTest1,'ExpReturn',
#     symbol,fReturn[[symbol]][,2],fReturn[[symbol]][,1])
#   }
#   portfolioTempForecast=optimization_run(optimizerTest1)
# 
#   optimizerTest<-optimization_goal(portfolio,goal="SharpeRatio", direction="maximize")
#   portfolioTemp=optimization_run(optimizerTest)
# util_plot2d(portfolio_sharpeRatio(portfolioTemp),"SharpeRatio",legend="No forecast")+
# util_line2d(portfolio_sharpeRatio(portfolioTempForecast),legend="Perfect forecast")
# 
# ## End(Not run)