metric-class

plot,metric,missing-method

plot,metric,ANY-method

+,metric,numeric-method

-,metric,numeric-method

*,metric,numeric-method

/,metric,numeric-method

+,metric,metric-method

-,metric,metric-method

*,metric,metric-method

/,metric,metric-method

show,metric-method


Class that incorporates the notion of "lazy" portfolio or position metric.


classes

PortfolioEffectHFT

R interface to PortfolioEffect cloud service for backtesting
high frequency trading (HFT) strategies, intraday portfolio analysis
and optimization. Includes auto-calibrating model pipeline for market
microstructure noise, risk factors, price jumps/outliers, tail risk
(high-order moments) and price fractality (long memory). Constructed
portfolios could use client-side market data or access HF intraday price
history for all major US Equities. See <https://www.portfolioeffect.com/>
for more information on the PortfolioEffect high frequency portfolio
analytics platform.

metric-class: Class `"metric"`

Description

Arguments

Slots

Methods

Examples