PortfolioEffectHFT (version 1.7)

portfolio_defaultSettings: Portfolio Default Settings

Description

Advanced settings that regulate how porfolio metrics are computed, returned and stored. Default:

• portfolioMetricsMode="portfolio",
• windowLength = "1d",
• holdingPeriodsOnly = FALSE,
• shortSalesMode = "lintner",
• synchronizationModel = TRUE,
• jumpsModel = "moments",
• noiseModel = TRUE,
• fractalPriceModel=TRUE,
• factorModel = "sim",
• densityModel="GLD",
• driftTerm=FALSE,
• resultsNAFilter= TRUE,
• resultsSamplingInterval = "1s",
• inputSamplingInterval="1s",
• timeScale="1d",
• txnCostPerShare=0,
• txnCostFixed=0

Usage

portfolio_defaultSettings(portfolio)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

Value

See Also

portfolio_create

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# portfolio_defaultSettings(portfolio,
# 				   inputSamplingInterval = '10s',
# 				   resultsSamplingInterval = '10s')
# portfolio_getSettings(portfolio)
# portfolio_defaultSettings(portfolio)
# portfolio_getSettings(portfolio)
# 
# ## End(Not run)