Description Usage Arguments Examples
Gets the performance of an object of class Strategy
.
1 2 3 4 5 6 7 8 9 | performance(object, of = "portfolio", type = "performance", from = NULL,
until = NULL, which = NULL, use.backtest = FALSE,
include.costs = TRUE)
## S4 method for signature 'Strategy'
performance(object, of = c("portfolio", "assets"),
type = c("performance", "logReturns", "returns"), from = NULL,
until = NULL, which = NULL, use.backtest = FALSE,
include.costs = TRUE)
|
object |
An object of class |
of |
Performance to be extracted from assets separately or the portfolio performance. |
type |
Which type of performance shall be returned. |
from |
The date in character format |
until |
The date in character format |
which |
Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly. |
use.backtest |
If |
include.costs |
If |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ## Not run:
# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)
# Get performance of MA(200)-Strategy
performance(myStrat.MA, from="2015-01-01", until="2015-12-31")
# Get backtest performance of MA(200)-Strategy
# performance(myStrat.MA, from="2015-01-01", until="2015-12-31"
# , use.backtest=TRUE, type="logReturns")
## End(Not run)
|
Portfolio
2015-01-01 1.0000000
2015-01-02 1.0002812
2015-01-03 1.0028657
2015-01-04 1.0033907
2015-01-05 1.0035050
2015-01-06 1.0003639
2015-01-07 0.9987955
2015-01-08 0.9939937
2015-01-09 0.9983060
2015-01-10 0.9983427
2015-01-11 0.9956885
2015-01-12 0.9967398
2015-01-13 0.9966332
2015-01-14 0.9965444
2015-01-15 0.9956075
2015-01-16 0.9939886
2015-01-17 0.9943707
2015-01-18 0.9976131
2015-01-19 0.9982674
2015-01-20 0.9952656
2015-01-21 0.9929763
2015-01-22 0.9940789
2015-01-23 0.9929418
2015-01-24 0.9950245
2015-01-25 0.9919807
2015-01-26 0.9901813
2015-01-27 0.9868609
2015-01-28 0.9862095
2015-01-29 0.9838717
2015-01-30 0.9836338
2015-01-31 0.9821444
2015-02-01 0.9795716
2015-02-02 0.9799849
2015-02-03 0.9802874
2015-02-04 0.9797124
2015-02-05 0.9813297
2015-02-06 0.9873093
2015-02-07 0.9891890
2015-02-08 0.9941164
2015-02-09 0.9967188
2015-02-10 0.9939138
2015-02-11 0.9933137
2015-02-12 0.9938934
2015-02-13 0.9939348
2015-02-14 0.9896594
2015-02-15 0.9897728
2015-02-16 0.9949190
2015-02-17 0.9952948
2015-02-18 0.9947922
2015-02-19 0.9920690
2015-02-20 0.9837841
2015-02-21 0.9861776
2015-02-22 0.9857347
2015-02-23 0.9866246
2015-02-24 0.9868476
2015-02-25 0.9925246
2015-02-26 0.9912349
2015-02-27 0.9942311
2015-02-28 0.9936380
2015-03-01 0.9928955
2015-03-02 0.9937678
2015-03-03 0.9937922
2015-03-04 0.9906467
2015-03-05 0.9887899
2015-03-06 0.9867332
2015-03-07 0.9858396
2015-03-08 0.9798789
2015-03-09 0.9855234
2015-03-10 0.9858348
2015-03-11 0.9831979
2015-03-12 0.9863522
2015-03-13 0.9868200
2015-03-14 0.9831131
2015-03-15 0.9852714
2015-03-16 0.9853108
2015-03-17 0.9839694
2015-03-18 0.9858574
2015-03-19 0.9864559
2015-03-20 0.9826395
2015-03-21 0.9802763
2015-03-22 0.9805885
2015-03-23 0.9782650
2015-03-24 0.9790244
2015-03-25 0.9792316
2015-03-26 0.9819756
2015-03-27 0.9847907
2015-03-28 0.9832663
2015-03-29 0.9820442
2015-03-30 0.9820482
2015-03-31 0.9853740
2015-04-01 0.9852024
2015-04-02 0.9843667
2015-04-03 0.9836882
2015-04-04 0.9858449
2015-04-05 0.9791699
2015-04-06 0.9801293
2015-04-07 0.9820717
2015-04-08 0.9814775
2015-04-09 0.9835571
2015-04-10 0.9804951
2015-04-11 0.9825561
2015-04-12 0.9823463
2015-04-13 0.9842905
2015-04-14 0.9840208
2015-04-15 0.9827555
2015-04-16 0.9832509
2015-04-17 0.9790637
2015-04-18 0.9812720
2015-04-19 0.9795038
2015-04-20 0.9761348
2015-04-21 0.9762367
2015-04-22 0.9763972
2015-04-23 0.9693303
2015-04-24 0.9717407
2015-04-25 0.9708908
2015-04-26 0.9681659
2015-04-27 0.9617540
2015-04-28 0.9635462
2015-04-29 0.9692616
2015-04-30 0.9682552
2015-05-01 0.9642940
2015-05-02 0.9650007
2015-05-03 0.9666500
2015-05-04 0.9700298
2015-05-05 0.9680127
2015-05-06 0.9668812
2015-05-07 0.9701362
2015-05-08 0.9649548
2015-05-09 0.9636810
2015-05-10 0.9624173
2015-05-11 0.9610358
2015-05-12 0.9615367
2015-05-13 0.9584390
2015-05-14 0.9593047
2015-05-15 0.9568593
2015-05-16 0.9582282
2015-05-17 0.9601933
2015-05-18 0.9628760
2015-05-19 0.9637618
2015-05-20 0.9670466
2015-05-21 0.9705906
2015-05-22 0.9746388
2015-05-23 0.9745348
2015-05-24 0.9746871
2015-05-25 0.9692832
2015-05-26 0.9657704
2015-05-27 0.9644059
2015-05-28 0.9661226
2015-05-29 0.9659640
2015-05-30 0.9629735
2015-05-31 0.9636553
2015-06-01 0.9602157
2015-06-02 0.9572621
2015-06-03 0.9538256
2015-06-04 0.9534256
2015-06-05 0.9569912
2015-06-06 0.9580802
2015-06-07 0.9582655
2015-06-08 0.9586307
2015-06-09 0.9561791
2015-06-10 0.9595100
2015-06-11 0.9622820
2015-06-12 0.9604937
2015-06-13 0.9673237
2015-06-14 0.9675515
2015-06-15 0.9661076
2015-06-16 0.9723076
2015-06-17 0.9692909
2015-06-18 0.9634865
2015-06-19 0.9655692
2015-06-20 0.9662743
2015-06-21 0.9633190
2015-06-22 0.9686360
2015-06-23 0.9671115
2015-06-24 0.9651636
2015-06-25 0.9624123
2015-06-26 0.9663776
2015-06-27 0.9671790
2015-06-28 0.9642597
2015-06-29 0.9624224
2015-06-30 0.9614432
2015-07-01 0.9629991
2015-07-02 0.9651607
2015-07-03 0.9660846
2015-07-04 0.9642920
2015-07-05 0.9617527
2015-07-06 0.9593905
2015-07-07 0.9605350
2015-07-08 0.9609401
2015-07-09 0.9587537
2015-07-10 0.9551058
2015-07-11 0.9559316
2015-07-12 0.9575766
2015-07-13 0.9583224
2015-07-14 0.9560299
2015-07-15 0.9556539
2015-07-16 0.9541030
2015-07-17 0.9527747
2015-07-18 0.9523835
2015-07-19 0.9521456
2015-07-20 0.9531279
2015-07-21 0.9520605
2015-07-22 0.9527468
2015-07-23 0.9530640
2015-07-24 0.9528040
2015-07-25 0.9533882
2015-07-26 0.9567004
2015-07-27 0.9568653
2015-07-28 0.9548578
2015-07-29 0.9541642
2015-07-30 0.9537529
2015-07-31 0.9509801
2015-08-01 0.9571523
2015-08-02 0.9572375
2015-08-03 0.9590832
2015-08-04 0.9590313
2015-08-05 0.9643522
2015-08-06 0.9630140
2015-08-07 0.9607823
2015-08-08 0.9593483
2015-08-09 0.9586552
2015-08-10 0.9538458
2015-08-11 0.9507664
2015-08-12 0.9523158
2015-08-13 0.9563637
2015-08-14 0.9554128
2015-08-15 0.9524732
2015-08-16 0.9504426
2015-08-17 0.9498884
2015-08-18 0.9520599
2015-08-19 0.9521031
2015-08-20 0.9513820
2015-08-21 0.9460652
2015-08-22 0.9411852
2015-08-23 0.9389518
2015-08-24 0.9431001
2015-08-25 0.9425068
2015-08-26 0.9383957
2015-08-27 0.9408372
2015-08-28 0.9427304
2015-08-29 0.9429345
2015-08-30 0.9472515
2015-08-31 0.9498758
2015-09-01 0.9478208
2015-09-02 0.9419286
2015-09-03 0.9393665
2015-09-04 0.9369810
2015-09-05 0.9352107
2015-09-06 0.9371507
2015-09-07 0.9398010
2015-09-08 0.9415014
2015-09-09 0.9461475
2015-09-10 0.9487661
2015-09-11 0.9465726
2015-09-12 0.9502683
2015-09-13 0.9486046
2015-09-14 0.9468793
2015-09-15 0.9452703
2015-09-16 0.9472243
2015-09-17 0.9439325
2015-09-18 0.9422907
2015-09-19 0.9430243
2015-09-20 0.9418001
2015-09-21 0.9443803
2015-09-22 0.9468245
2015-09-23 0.9450453
2015-09-24 0.9449539
2015-09-25 0.9450512
2015-09-26 0.9456677
2015-09-27 0.9445245
2015-09-28 0.9487795
2015-09-29 0.9524158
2015-09-30 0.9549528
2015-10-01 0.9521534
2015-10-02 0.9537796
2015-10-03 0.9546642
2015-10-04 0.9586775
2015-10-05 0.9581836
2015-10-06 0.9564972
2015-10-07 0.9536756
2015-10-08 0.9534710
2015-10-09 0.9540509
2015-10-10 0.9544541
2015-10-11 0.9534450
2015-10-12 0.9542755
2015-10-13 0.9536508
2015-10-14 0.9572046
2015-10-15 0.9558512
2015-10-16 0.9537771
2015-10-17 0.9532259
2015-10-18 0.9508326
2015-10-19 0.9481777
2015-10-20 0.9488034
2015-10-21 0.9450796
2015-10-22 0.9418699
2015-10-23 0.9427607
2015-10-24 0.9465634
2015-10-25 0.9494237
2015-10-26 0.9499372
2015-10-27 0.9465987
2015-10-28 0.9495075
2015-10-29 0.9495724
2015-10-30 0.9515330
2015-10-31 0.9507621
2015-11-01 0.9499631
2015-11-02 0.9492349
2015-11-03 0.9504934
2015-11-04 0.9473828
2015-11-05 0.9445205
2015-11-06 0.9446920
2015-11-07 0.9424081
2015-11-08 0.9429418
2015-11-09 0.9431746
2015-11-10 0.9450453
2015-11-11 0.9433024
2015-11-12 0.9446020
2015-11-13 0.9445696
2015-11-14 0.9421350
2015-11-15 0.9410306
2015-11-16 0.9368269
2015-11-17 0.9352450
2015-11-18 0.9315977
2015-11-19 0.9308014
2015-11-20 0.9293143
2015-11-21 0.9305615
2015-11-22 0.9251346
2015-11-23 0.9248882
2015-11-24 0.9259039
2015-11-25 0.9254995
2015-11-26 0.9216782
2015-11-27 0.9206742
2015-11-28 0.9172128
2015-11-29 0.9198726
2015-11-30 0.9208988
2015-12-01 0.9208464
2015-12-02 0.9210385
2015-12-03 0.9210619
2015-12-04 0.9253208
2015-12-05 0.9239907
2015-12-06 0.9244272
2015-12-07 0.9246500
2015-12-08 0.9264835
2015-12-09 0.9238625
2015-12-10 0.9248822
2015-12-11 0.9248391
2015-12-12 0.9247674
2015-12-13 0.9294084
2015-12-14 0.9267485
2015-12-15 0.9248218
2015-12-16 0.9233129
2015-12-17 0.9241368
2015-12-18 0.9245269
2015-12-19 0.9220783
2015-12-20 0.9226478
2015-12-21 0.9211555
2015-12-22 0.9190065
2015-12-23 0.9194690
2015-12-24 0.9197666
2015-12-25 0.9220339
2015-12-26 0.9257872
2015-12-27 0.9266251
2015-12-28 0.9239919
2015-12-29 0.9237405
2015-12-30 0.9251620
2015-12-31 0.9242056
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