PortfolioEffectHFT (version 1.7)

weight_transform: Weight Transform

Description

Returns transformed position weights for a given list of symbols. This metric is commonly used for creating position constraints during portfolio optimization.

Usage

weight_transform(portfolio,transformType=c('sum_abs_weight','equiweight'),symbols=NULL)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

transformType

Transform applied to position weights: "sum_abs_weights" - sum of absolute position weights, "equiweight" - equal position weights

symbols

List of symbols

Value

See Also

portfolio_create

Examples

## Not run: 
# portfolio<-portfolio_create("SPY", "2014-11-19 09:30:00", "2014-11-19 16:00:00")
# portfolio_settings(portfolio,portfolioMetricsMode="price",resultsSamplingInterval='1m')
# position_AAPL=position_add(portfolio,"AAPL",1000)
# position_GOOG=position_add(portfolio,"GOOG",1000)
# position_SPY=position_add(portfolio,"SPY",1000)
# 
# optimizer=optimization_goal(variance(portfolio),direction="min")
# optimizer=optimization_constraint(optimizer,value(portfolio),'=',10^9)
# optimizer=optimization_constraint(optimizer,weight_transform(portfolio,
# "sum_abs_weight",c(position_AAPL,position_GOOG)),">=",0.5)
# plot(optimization_run(optimizer))
# 
# optimizer=optimization_goal(weight_transform(portfolio,"equiweight"))
# plot(optimization_run(optimizer))
# ## End(Not run)