PortfolioEffectHFT (version 1.7)

forecast_input: Forecast Input

Description

Adds given metric as an explanatory variable to forecast model

Usage

forecast_input(forecast,metric)

Arguments

forecast

Object of class forecast

metric

Object of class metric

Value

forecast

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio=portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '360s',
#                    resultsSamplingInterval='60s')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# 
# forecastVariance_1=forecast_builder(variance(positionAAPL),window="1d")
# # plot(forecast_apply(forecastVariance),variance(positionAAPL),legend=c('Forecast','Simple'))
# 
# forecastVariance_2=forecast_builder(variance(positionAAPL),window="1d")
# forecastVariance_2=forecast_input(forecastVariance_2,beta(positionAAPL))
# plot(forecast_apply(forecastVariance_1),forecast_apply(forecastVariance_2),
#      variance(positionAAPL),legend=c('Forecast,without input','Forecast,with input','Simple'))
# ## End(Not run)