# rachev_ratio: Rachev Ratio In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

## Description

Computes Rachev ratio of a portfolio at given confidence intervals. Computation employs distribution skewness and kurtosis to account for non-normality.

## Usage

 ```1 2``` ```rachev_ratio(asset, confidenceIntervalA = 0.95, confidenceIntervalB = 0.95) ```

## Arguments

 `asset` Portfolio or Position object created using portfolio_create( ) or position_add( ) function `confidenceIntervalA` Confidence interval (in decimals) to be used as a cut-off point in the numerator `confidenceIntervalB` Confidence interval (in decimals) to be used as a cut-off point in the denominator

Metric object

## Author(s)

Kostin Andrey <[email protected]>

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27``` ```## Not run: data(aapl.data) data(goog.data) data(spy.data) portfolio=portfolio_create(priceDataIx=spy.data) portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s') positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data) positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) result=compute(rachev_ratio(portfolio,0.95,0.95),rachev_ratio(positionGOOG,0.95,0.95), rachev_ratio(positionAAPL,0.95,0.95)) plot(rachev_ratio(portfolio,0.95,0.95),rachev_ratio(positionGOOG,0.95,0.95), rachev_ratio(positionAAPL,0.95,0.95),legend=c('Portfolio','GOOG','AAPL'),title='Rachev Ratio') dateStart = "2014-11-17 09:30:00" dateEnd = "2014-11-17 16:00:00" portfolio=portfolio_create(dateStart,dateEnd) portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s', resultsSamplingInterval='60s') positionAAPL=position_add(portfolio,'AAPL',100) positionC=position_add(portfolio,'C',300) positionGOOG=position_add(portfolio,'GOOG',150) result=compute(rachev_ratio(positionC,0.95,0.95),rachev_ratio(positionGOOG,0.95,0.95), rachev_ratio(positionAAPL,0.95,0.95)) plot(rachev_ratio(positionC,0.95,0.95),rachev_ratio(positionGOOG,0.95,0.95), rachev_ratio(positionAAPL,0.95,0.95),legend=c('C','GOOG','AAPL'),title='Rachev Ratio') ## End(Not run) ```

PortfolioEffectHFT documentation built on May 30, 2017, 3:08 a.m.