How to input the macro series into myPayout function? Whether the first argument must be raw data?

Alphathon
#1

It is said in the rule that macro series (like S&P500 index) can be used to help us make stock picking decisions. So whether they can be referred in my payout function?

As the first argument can only be the price data frame. I can only refer those macro series through the date index.


I would like to know whether my understanding is correct?


I also want to ask whether the first argument can only be the raw data of 6 fields or they can be processed data?( for example after standardization)


update:

or I can use add_feature method of Portfolio to add other features to my models. And the payout function is only used to generate a weight matrix through the features matrix?

#2

have similar question :slight_smile:


#3

Create a new DataFeatures object that holds all macro data; pass it in your payout as second argument.

Then you can use it in your payout function: