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change httype to symbol #129

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merged 4 commits into from
Jun 9, 2024
Merged

change httype to symbol #129

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eac06d0
change httype to symbol
sheriff4000 Jun 8, 2024
4b80b17
initialise htcounter
sheriff4000 Jun 9, 2024
a9ad2ba
Merge branch 'JuDO-dev:dev' into FALM
sheriff4000 Jun 9, 2024
4ebfa5b
redundant htcounter init
sheriff4000 Jun 9, 2024
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4 changes: 2 additions & 2 deletions src/Backtest/strategies/FALM.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -51,7 +51,7 @@ function falm_initialize!(
transactionCost::Real=0.02, # Transaction cost
currency::String="FEX/USD", # Currency to use
forecaster::Forecaster=LinearForecaster(1; reparameterise_window=0), # Forecasting function
httype::Int=1, # 1: Weighted Average holding time, 2: Minimum holding time
httype::Symbol=:average, # 1: Weighted Average holding time, 2: Minimum holding time
min_alloc_threshold::Float64=0.7,
min_returns_threshold::Float64=0.0002,
)
Expand Down Expand Up @@ -232,7 +232,7 @@ function compute_portfolio!(context::ContextTypeA; data=DataFrame())
)
end

if context.extra.httype == 1
if context.extra.httype == :average
# Weighted Average Holding time
context.extra.htcounter = round(Int, holding_time)
else
Expand Down
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