VaR: Value at Risk

In Strategy: Generic Framework to Analyze Trading Strategies

Description

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

Usage

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)

Arguments

object	An object of class Strategy.
alpha	The significance level α that is used for propability of cumulative loss at level 1-α.
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 normal.distribution for the normal distribution, historical for the empirical distribution. Default value is historical.
method	Method of loss calculation. Use linear for approximation with log returns or full for calculation with arithmetic returns. Default value is full.
of	VaR to be calculated for assets separately or the portfolio.
from	The date in character format "yyyy-MM-dd" or as date-object from which losses shall be considered. If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which losses shall be considered. If NULL, no restriction is made.
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 of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.
include.costs	If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.
use.backtest	If TRUE, the performance of the backtesting output is considered for VaR calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

## 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)

Example output

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

Strategy documentation built on May 2, 2019, 2:09 a.m.