Man pages for PortfolioEffectHFT
High Frequency Portfolio Analytics by PortfolioEffect
| aapl.data | Sample Price Data |
| alpha_exante | Alpha |
| alpha_jensens | Jensen's Alpha |
| beta | Beta |
| calmar_ratio | Calmar Ratio |
| compute | Compute Metrics |
| correlation | Correlation |
| covariance | Covariance |
| create_metric | Create metric class |
| cumulant | N-th Cumulant |
| dist_density | Probability Density Function of Portfolio Returns |
| down_capture_ratio | Down Capture Ratio |
| down_number_ratio | Down Number Ratio |
| down_percentage_ratio | Down Percentage Ratio |
| downside_variance | Downside Variance |
| expected_downside_return | Expected Downside Return |
| expected_return | Expected Return |
| expected_shortfall | Expected Shortfall |
| expected_upside_return | Expected Upside Return |
| forecast_apply | Forecast Apply |
| forecast_builder | Forecast builder |
| forecast-class | Class '"forecast"' |
| forecast_input | Forecast Input |
| fractal_dimension | Fractal Dimension |
| gain_loss_variance_ratio | Gain Loss Variance Ratio |
| gain_variance | Gain Variance |
| hurst_exponent | Hurst Exponent |
| information_ratio | Information Ratio |
| kurtosis | Kurtosis |
| log_return | Returns |
| loss_variance | Loss Variance |
| max_drawdown | Max Drawdown |
| metric-class | Class '"metric"' |
| mod_sharpe_ratio | Modified Sharpe Ratio |
| moment | N-th Order Central Moment |
| omega_ratio | Omega Ratio |
| optimization_constraint | Portfolio Optimization Constraint |
| optimization_forecast | Porfolio Optimization - Set Optimization Forecast |
| optimization_goal | Porfolio Optimization - Set Optimization Goal |
| optimization_info | Porfolio Optimization - Print Optimization Details |
| optimization_run | Portfolio Optimization - Runs Optimization Algorithm |
| optimizer-class | Class '"optimizer"' |
| portfolio_availableSymbols | Get All Symbol List |
| portfolio-class | Class '"portfolio"' |
| portfolio_create | Creates new portfolio |
| portfolio_defaultSettings | Portfolio Default Settings |
| portfolio_getPosition | Get position from portfolio |
| portfolio_getSettings | Get Portfolio Settings |
| portfolioPlot-class | Class '"portfolioPlot"' |
| portfolio_settings | Portfolio Settings |
| position_add | Add position in portfolio |
| position-class | Class '"position"' |
| position_list | Portfolio Symbols |
| position_remove | Remove position from portfolio |
| price | Price |
| profit | Profit |
| quantity | Quantity |
| rachev_ratio | Rachev Ratio |
| return_autocovariance | Return Autocovariance |
| return_jump_size | Return Jump Size |
| set_quantity | Set Position Quantity |
| sharpe_ratio | Sharpe Ratio |
| skewness | Skewness |
| sortino_ratio | Sortina Ratio |
| starr_ratio | STARR Ratio |
| treynor_ratio | Treynor Ratio |
| txn_costs | Transactional Costs |
| up_capture_ratio | Up Capture Ratio |
| up_number_ratio | Up Number Ratio |
| up_percentage_ratio | Up Percentage Ratio |
| upside_downside_variance_ratio | Upside/Downside Variance Ratio |
| upside_variance | Upside Variance |
| util_cleanCredentials | Clean API Credentials |
| util_colorScheme | Color scheme for charts |
| util_dateToPOSIXTime | Date To POSIX Time |
| util_fillScheme | Fill scheme for charts |
| util_getComputeTime | Remaining compute time |
| util_ggplot | Converter of portfolioPlot to ggplot2 |
| util_line2d | Adds line chart to existing plot |
| util_multiplot | Multiple ggplot2 charts on one page |
| util_plot2d | Line plot of portfolio metric (for a time series) |
| util_plot2df | Line plot of portfolio metric (for a dataframe) |
| util_plotDensity | Line plot of probability density |
| util_plotTheme | Plot style settings for PortfolioEffect theme |
| util_POSIXTimeToDate | POSIX Time To Date |
| util_setCredentials | Set API Credentials |
| value | Value |
| value_at_risk | Value-at-Risk |
| variance | Variance |
| weight | Weight |
| weight_transform | Weight Transform |
