Man pages for PortfolioEffectHFT
High Frequency Portfolio Analytics by PortfolioEffect

aapl.dataSample Price Data
alpha_exanteAlpha
alpha_jensensJensen's Alpha
betaBeta
calmar_ratioCalmar Ratio
computeCompute Metrics
correlationCorrelation
covarianceCovariance
create_metricCreate metric class
cumulantN-th Cumulant
dist_densityProbability Density Function of Portfolio Returns
down_capture_ratioDown Capture Ratio
down_number_ratioDown Number Ratio
down_percentage_ratioDown Percentage Ratio
downside_varianceDownside Variance
expected_downside_returnExpected Downside Return
expected_returnExpected Return
expected_shortfallExpected Shortfall
expected_upside_returnExpected Upside Return
forecast_applyForecast Apply
forecast_builderForecast builder
forecast-classClass '"forecast"'
forecast_inputForecast Input
fractal_dimensionFractal Dimension
gain_loss_variance_ratioGain Loss Variance Ratio
gain_varianceGain Variance
hurst_exponentHurst Exponent
information_ratioInformation Ratio
kurtosisKurtosis
log_returnReturns
loss_varianceLoss Variance
max_drawdownMax Drawdown
metric-classClass '"metric"'
mod_sharpe_ratioModified Sharpe Ratio
momentN-th Order Central Moment
omega_ratioOmega Ratio
optimization_constraintPortfolio Optimization Constraint
optimization_forecastPorfolio Optimization - Set Optimization Forecast
optimization_goalPorfolio Optimization - Set Optimization Goal
optimization_infoPorfolio Optimization - Print Optimization Details
optimization_runPortfolio Optimization - Runs Optimization Algorithm
optimizer-classClass '"optimizer"'
portfolio_availableSymbolsGet All Symbol List
portfolio-classClass '"portfolio"'
portfolio_createCreates new portfolio
portfolio_defaultSettingsPortfolio Default Settings
portfolio_getPositionGet position from portfolio
portfolio_getSettingsGet Portfolio Settings
portfolioPlot-classClass '"portfolioPlot"'
portfolio_settingsPortfolio Settings
position_addAdd position in portfolio
position-classClass '"position"'
position_listPortfolio Symbols
position_removeRemove position from portfolio
pricePrice
profitProfit
quantityQuantity
rachev_ratioRachev Ratio
return_autocovarianceReturn Autocovariance
return_jump_sizeReturn Jump Size
set_quantitySet Position Quantity
sharpe_ratioSharpe Ratio
skewnessSkewness
sortino_ratioSortina Ratio
starr_ratioSTARR Ratio
treynor_ratioTreynor Ratio
txn_costsTransactional Costs
up_capture_ratioUp Capture Ratio
up_number_ratioUp Number Ratio
up_percentage_ratioUp Percentage Ratio
upside_downside_variance_ratioUpside/Downside Variance Ratio
upside_varianceUpside Variance
util_cleanCredentialsClean API Credentials
util_colorSchemeColor scheme for charts
util_dateToPOSIXTimeDate To POSIX Time
util_fillSchemeFill scheme for charts
util_getComputeTimeRemaining compute time
util_ggplotConverter of portfolioPlot to ggplot2
util_line2dAdds line chart to existing plot
util_multiplotMultiple ggplot2 charts on one page
util_plot2dLine plot of portfolio metric (for a time series)
util_plot2dfLine plot of portfolio metric (for a dataframe)
util_plotDensityLine plot of probability density
util_plotThemePlot style settings for PortfolioEffect theme
util_POSIXTimeToDatePOSIX Time To Date
util_setCredentialsSet API Credentials
valueValue
value_at_riskValue-at-Risk
varianceVariance
weightWeight
weight_transformWeight Transform
PortfolioEffectHFT documentation built on May 30, 2017, 3:08 a.m.