Description Usage Arguments Examples

Value at Risk of the assets or portfolio of an object of class `Strategy`

.

1 2 3 4 5 6 7 8 9 10 11 12 | ```
VaR(object, alpha=0.05, V=1, type="normal.distribution"
, method="full", of="portfolio"
, from=NULL, until=NULL, which=NULL
, scaling.periods=NULL, include.weights=TRUE
, include.costs=TRUE, use.backtest=FALSE)
## S4 method for signature 'Strategy'
VaR(object, alpha = 0.05, V = 1,
type = c("normal.distribution", "historical"), method = c("full",
"linear"), of = c("portfolio", "assets"), from = NULL, until = NULL,
which = NULL, scaling.periods = NULL, include.weights = TRUE,
include.costs = TRUE, use.backtest = FALSE)
``` |

`object` |
An object of class |

`alpha` |
The significance level |

`V` |
Volume that is invested. The linear factor for the VaR calculation. Either a single value for portfolio or a vector for each asset. |

`type` |
Type of VaR calculation. Use |

`method` |
Method of loss calculation. Use |

`of` |
VaR to be calculated for assets separately or the portfolio. |

`from` |
The date in character format |

`until` |
The date in character format |

`which` |
Names or number of assets that should be included in calculation. |

`scaling.periods` |
Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively. |

`include.weights` |
Only relevant if |

`include.costs` |
If |

`use.backtest` |
If |

1 2 3 4 5 6 7 8 9 10 11 12 13 | ```
## Not run:
# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)
# Get VaR of MA(200)-Strategy portfolio
VaR(myStrat.MA, from="2015-01-01", until="2015-12-31")
# Get backtest VaR of MA(200)-Strategy
# VaR(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)
## End(Not run)
``` |

```
Portfolio
alpha=5% 0.07116256
attr(,"Portfolio Volume")
[1] 1
```

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