hitratio: Strategy Hit Ratio

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Gets the hitratio of the signals of an object of class Strategy.

Usage

hitratio(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL
       , type="per.signal", include.costs=TRUE
       , use.backtest=FALSE)

## S4 method for signature 'Strategy'
hitratio(object, of = c("portfolio", "assets"),
  from = NULL, until = NULL, which = NULL, type = c("per.signal",
  "per.trade"), include.costs = TRUE, use.backtest = FALSE)

Arguments

object	An object of class Strategy.
of	Hit Ratio to be calculated for assets separately or the portfolio (weighted hit ratios according to average asset weights).
from	The date in character format "yyyy-MM-dd" or as date-object from which returns shall be considered. If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which returns shall be considered. If NULL, no restriction is made.
which	Names or number of assets that should be included in calculation.
type	If the hitratio shall be calculated per trade with per.trade or per signal per.signal.
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 As default values for costs are 0, this argument is obsolete if no costs are given.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 set to TRUE, the signals from the backtesting output are considered for maximum drawdown calculation. If FALSE, the signals from 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 hit ratio of MA(200)-Strategy portfolio
hitratio(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get hit ratio of MA(200)-Strategy (daily data = 252 trading days)
# hitratio(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

## End(Not run)

Example output

Portfolio 
0.4975342 

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