Make Futures Simulation Weights Matrix

Takes a long dataframe of symbol, date, target_weight and returns a wide matrix of date, and columns for target weights for each symbol.

Helper function for wrangling data into the required shape for simulation.

make_sim_weights_matrix(weights)

Arguments

weights

Long dataframe of symbol, date, target_weight

Value

Wide matrix of date, and columns for target weights for each symbol

Examples