ml_plot_ic_roll

Computes the IC time series via <code>ml_ic_series_on_scores()</code> and plots the
rolling mean IC over a specified window. Returns the rolling statistics
invisibly for further inspection.

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_plot_ic_roll function

<dl><dt>scores_dt</dt>
<dd>Scores (wide).</dd>
<dt>labels_dt</dt>
<dd>Labels (wide).</dd>
<dt>window</dt>
<dd>Integer window length (default 26).</dd>
<dt>method</dt>
<dd>Correlation method; <code>"spearman"</code> (default) or <code>"pearson"</code>.</dd></dl>

Arguments

Rolling rank-IC plot (rebalance dates; leakage-safe) — ml_plot_ic_roll

<dl>

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


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


<dt>window</dt>
<dd>Integer window length (default 26).</dd>


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

</dl>

ml_plot_ic_roll: Rolling rank-IC plot (rebalance dates; leakage-safe)

Description

Usage

Value

Arguments

Examples