calculate_enhanced_metrics: Calculate Enhanced Performance Metrics

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Calculate Enhanced Performance Metrics

Description

Computes comprehensive risk and return metrics from daily data including Sharpe, Sortino, Calmar ratios, VaR, CVaR, and tail risk measures.

Usage

calculate_enhanced_metrics(
  daily_values,
  daily_returns,
  rf_rate = 0,
  confidence_level = 0.95
)

Arguments

daily_values	Daily portfolio values
daily_returns	Daily return series
rf_rate	Risk-free rate
confidence_level	VaR/CVaR confidence level

Value

List of performance metrics

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.