PortfolioTesteR (version 0.1.4)

rank_within_sector: Rank Indicators Within Each Sector

Description

Ranks stocks within their sector for sector-neutral strategies. Enables selecting best stocks from each sector regardless of sector performance. Optimized using matrix operations within groups.

Usage

rank_within_sector(
  indicator_df,
  sector_mapping,
  method = c("percentile", "rank", "z-score"),
  min_sector_size = 3
)

Value

Data frame with within-sector ranks/scores

Arguments

indicator_df

Data frame with Date column and indicator values

sector_mapping

Data frame with Symbol and Sector columns.

method

"percentile" (0-100), "rank" (1-N), or "z-score"

min_sector_size

Minimum stocks per sector (default: 3)

Examples

data("sample_prices_weekly")
data("sample_sp500_sectors")
momentum <- calc_momentum(sample_prices_weekly, 12)
sector_ranks <- rank_within_sector(momentum, sample_sp500_sectors)