PortfolioEffectHFT (version 1.7)

portfolio_create: Creates new portfolio

Description

Creates new empty portfolio. To add positions use position_add( ). To remove positions use position_remove( ).

Usage

portfolio_create(index, fromTime, toTime, priceDataIx)

Arguments

index

Index symbol that should be used in the Single Index Model. Defaults to "SPY".

fromTime

Start of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).

toTime

End of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).

priceDataIx

Vector of (time, price) observations for market index asset when external market data is used.

Value

See Also

position_add portfolio_settings position_remove

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)  
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# result=compute(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL)) 
# plot(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL),
# legend=c('Portfolio','GOOG','AAPL'),title='Alpha')
# print(portfolio)
# 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',c(100,200),time=c(1412256601000,1412266600000),
# priceData=goog.data) 
# positionAAPL=position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
# priceData=aapl.data) 
# plot(expected_return(portfolio),title="Expected Return")
# 
# portfolio=portfolio_create(fromTime="2014-09-01 09:00:00", toTime="2014-09-14 16:00:00")
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionSPY=position_add(portfolio,'SPY',500)
# positionC=position_add(portfolio,'C',600)
# plot(expected_return(portfolio),title="Portfolio Expected Return")
# 
# portfolio=portfolio_create(fromTime="2014-10-02 09:30:00", toTime="2014-10-02 16:00:00")
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionSPY=position_add(portfolio,'SPY',500)
# positionC=position_add(portfolio,'C',600)
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data) 
# position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
# priceData=aapl.data)
# plot(expected_return(portfolio),title="Portfolio Expected Return")
# 
# portfolio=portfolio_create(fromTime="t-2", toTime="t")
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionSPY=position_add(portfolio,'SPY',500)
# positionC=position_add(portfolio,'C',600)
# plot(expected_return(portfolio),title="Portfolio Expected Return")
# ## End(Not run)