tradeRecord-class: Class "tradeRecord"

In DMwR: Functions and data for "Data Mining with R"

Description

This is a class that contains the result of a call to the function trading.simulator(). It contains information on the trading performance of a set of signals on a given set of "future" market quotes.

Objects from the Class

Objects can be created by calls of the form tradeRecord(...). These objects contain information on i) the trading variables for each day in the simulation period; ii) on the positions hold during this period; iii) on the value used for transaction costs; iv) on the initial capital for the simulation; v) on the function that implements the trading policy used in the simulation; and vi) on the list of parameters of this function.

Slots

trading:

Object of class "xts" containing the information on the trading activities through the testing period. This object has one line for each trading date. For each date it includes information on the closing price of the market ("Close"), on the order given at the end of that day ("Order"), on the money available to the trader at the end of that day ("Money"), on the number of stocks hold by the trader ("N.Stocks"), and on the equity at the end of that day ("Equity").

positions:

Object of class "matrix" containing the positions hold by the trader during the simulation period. This is a matrix with seven columns, with as many rows as the number of positions hold by the trader. The columns of this matrix contain the type of position ("pos.type"), the number of stocks of the position ("N.stocks"), the date when the position was opened ("Odate"), the open price ("Oprice"), the closing date ("Cdate"), the closing price ("Cprice") and the percentage return of the position ("result").

trans.cost:

Object of class "numeric" with the monetary value of each transaction (market order).

init.cap:

Object of class "numeric" with the initial monetary value of the trader.

policy.func:

Object of class "character" with the name of the function that should be called at the end of each day to decide what to do, i.e. the trading policy function. This function is called with the vector of signals till the current date, the market quotes till today, the current position of the trader and the currently available money.

policy.pars:

Object of class "list" containing a list of extra parameters to be used when calling the trading policy function (these depend on the function defined by the user).

Methods

plot

signature(x = "tradeRecord", y = "ANY"): provides a graphical representation of the trading results.

show

signature(object = "tradeRecord"): shows an object in a proper way.

summary

signature(object = "tradeRecord"): provides a summary of the trading results.

Author(s)

Luis Torgo [e-mail]

References

Torgo, L. (2010) Data Mining using R: learning with case studies, CRC Press (ISBN: 9781439810187). http://www.dcc.fc.up.pt/~ltorgo/DataMiningWithR

See Also

trading.simulator, tradingEvaluation

Examples

showClass("tradeRecord")

DMwR documentation built on May 1, 2019, 9:17 p.m.