sharpe: Get Sharpe Ratio of Performance

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Get the sharpe ratio of the performance of an object of class Strategy.

Usage

sharpe(object, rf=0, of="portfolio"
     , from=NULL, until=NULL, which=NULL
     , scaling.periods=NULL, include.costs=TRUE
     , use.backtest=FALSE)

## S4 method for signature 'Strategy'
sharpe(object, rf = 0, of = c("portfolio", "assets"),
  from = NULL, until = NULL, which = NULL, scaling.periods = NULL,
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object	An object of class Strategy.
rf	Risk free rate in decimal, e.g. rf=0.01 equals 1 percent.
of	Sharpe ratio to be calculated for assets separately or the portfolio sharpe.
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 sharpe ratio 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 As default values for costs are 0, this argument is obsolete if no costs are given.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 sharpe ratio 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 sharpe of MA(200)-Strategy portfolio
sharpe(myStrat.MA, from="2015-01-01", until="2015-12-31")

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

## End(Not run)

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