ml_ic_series_on_scores

Wrapper around <code>ic_series()</code> that first filters scores to formation dates
using an internal filter that keeps rows where at least one score is finite.

Design, backtest, and analyze portfolio strategies using simple,
English-like function chains. Includes technical indicators, flexible stock
selection, portfolio construction methods (equal weighting, signal weighting,
inverse volatility, hierarchical risk parity), and a compact backtesting
engine for portfolio returns, drawdowns, and summary metrics.

Alberto Pallotta

PortfolioTesteR

Test Investment Strategies with English-Like Code

ml_ic_series_on_scores function

<dl><dt>scores_dt</dt>
<dd>Scores table (wide).</dd>
<dt>labels_dt</dt>
<dd>Labels table (wide).</dd>
<dt>method</dt>
<dd>Correlation method; <code>"spearman"</code> (default) or <code>"pearson"</code>.</dd></dl>

Arguments

Rank-IC series computed on score (rebalance) dates — ml_ic_series_on_scores

<dl>

<dt>scores_dt</dt>
<dd>Scores table (wide).</dd>


<dt>labels_dt</dt>
<dd>Labels table (wide).</dd>


<dt>method</dt>
<dd>Correlation method; <code>"spearman"</code> (default) or <code>"pearson"</code>.</dd>

</dl>

ml_ic_series_on_scores: Rank-IC series computed on score (rebalance) dates

Description

Usage

Value

Arguments

Examples