Set-up

To use various functions in library('EPFR.r') it is recommended that the user sets up a folder called EPFR in your computer’s C drive (i.e. C://EPFR). This is the default directory that is used throughout the library to find any files used to perform backtests.

Inside of this EPFR directory we would suggest following the below folder structure:

• Add a “daily” folder to store EPFR daily csv files.
  • Example: MultiAsset-Rgn-daily.csv, FloPctCtry-daily.csv, FloPctSector-US-daily.csv, FX-daily.csv, etc.
• Add a “monthly” folder to store EPFR monthly csv files.
  • Example: ActPasCtry-monthly.csv, etc.
• Add a “returns” folder to store any return files used.
  • Example: PsuedoReturns-MultiAsset-FI-daily.csv, ExchRates-daily.csv, etc.
• Add a “parameters” folder to store any files that library('EPFR.r') has dependencies on.
  • The user should add the following files, which they can download via their EPFR FTP connection (located under the Classifications folder):
    1. classif-Ctry.txt
    2. MsciCtry2016.txt
    3. MsciCtryClassification.txt

---