compare: Compare performance of 'Strategy'-objects.

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Compare the portfolio performance indicators of an arbitrary number of objects of class Strategy.

Usage

compare(..., from=NULL, until=NULL, which=NULL
       , scaling.periods=NULL, include.costs=TRUE
       , use.backtest=FALSE, include.params=FALSE)

## S4 method for signature 'Strategy'
compare(..., from = NULL, until = NULL, which = NULL,
  scaling.periods = NULL, include.costs = TRUE, use.backtest = FALSE,
  include.params = FALSE)

Arguments

...	Objects of class Strategy.
from	The date in character format "yyyy-MM-dd" or as date-object from which performance shall be considered. If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which performance 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.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 As default values for costs are 0, this argument is obsolete if no costs are given.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 performance indicator calculation. If FALSE, the performance of the initial strategy execution are used.
include.params	If TRUE the parameters of the strategies are included in their names. E.g. MA(k=200) instead of MA as strategy name for moving average.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# EWMA(0.05)-Strategy
params <- list(lambda=0.05)
myStrat.EWMA <- Strategy(assets=assets, strat="EWMA", strat.params=params)

# Compare annualized performance of MA(200) and EWMA(0.05)
# compare(myStrat.MA, myStrat.EWMA, use.backtest=TRUE, scaling.periods=252)

##End(Not run)

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