ComputePortfolioReturns
포트폴리오에 대한 과거 일정 기간 동안의 수익률을 계산합니다.
Function specification
Parameters
Parameter | Type | Description |
entities | list of strings | 종목명 리스 |
date_from/date_to | date | 수익률 계산 기간 |
weight | string | 비중 결정 방식 ( "equal", "value", "relevance" ) |
rebalancing_freq | string | 리밸런싱 주기 ( "daily","monthly", "quarterly", "semi-annual", "annual", "no" ) |
rebalancing_date | int | the i-th date of portfolio rebalancing within the given frequency. For example, if (quarterly, 2) is given, it means the portfolio is to be rebalanced at the end of 2nd month in a quarter, e.g., Feb 28, May 31, Aug 31, and Nov 30. Similarly, if (monthly, 25) is given, the portfolio will be rebalaned at the 25th of every month. The default value is zero, which indicates the last date of a cycle. |
transaction_cost | float | 거래 비용 (%) ex) 1.0 -> 1.0% |
Result
Result:PortfolioReturnsExamples
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