performanceIndicators: Strategy Performance Indicators

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Get a list of the performance indicators of an object of class Strategy.

Usage

performanceIndicators(object, of="portfolio"
       , from=NULL, until=NULL, which=NULL, alpha=0.05
       , scaling.periods=NULL, include.weights=TRUE
       , include.costs=TRUE, use.backtest=FALSE)

## S4 method for signature 'Strategy'
performanceIndicators(object, of = c("portfolio",
  "assets"), from = NULL, until = NULL, which = NULL, alpha = 0.05,
  scaling.periods = NULL, include.weights = TRUE, include.costs = TRUE,
  use.backtest = FALSE)

Arguments

object	An object of class Strategy.
of	Indicators to be calculated for assets separately or the portfolio.
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.
alpha	The significance level α that is used for propability of cumulative loss at level 1-α.
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 As default values for costs are 0, this argument is obsolete if no costs are given.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 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 performance indicators of MA(200)-Strategy assets
performanceIndicators(myStrat.MA, from="2015-01-01", until="2015-12-31")

## End(Not run)

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