PerformanceReport: Summarize Back Test Performance

In TickExec: Execution Functions for Tick Data Back Test

Description

Give 13 basic indicators base on the simple arithmetic investments.

Usage

PerformanceReport(df, cumPnL, initCap = NA) 

Arguments

df	The dataframe containing the portfolio.
cumPnL	the daily pnl series, including those days with no trades.
initCap	initial capital, if given 'NA', then use the total capital recorded on the first trading day in the trade log 'df'.

Value

A dataframe with 13 basic indicators.

DAYS	number of total trading days.
FIRSTTRD	the day when first trade happened, normally the first trading day.
LASTTRD	the day when last trade happened, normally the last trading day.
NONTRDPERC	percentage for non-trading days.
DAILYTRD	average number of trades daily.
TOTALPNL	total pnl.
RETPERTRD	average return per trade.
TRDHITRAT	trade-wise hit rate.
DLYHITRAT	daily hit rate.
ANNRET	annual return.
SHARPE	annual sharpe ratio.
DRAWDOWN	maximum draw down.
INRETURN	intrinsic return.

Examples

## locate tick data directory ##
dir <- system.file("extdata", '', package = "TickExec")
ticker = 000001

df <- c()
pnl <- c()

for (d in 20141012:20141017) {

dfLog = LimitBuy(dir = dir, date = d, ticker = ticker, capital = 1e6, 
                 limitPrice = NA, orderFrom = 94545, orderLast = 600, 
                 costIn = 0.001, market = 'SHSZ')

dfLogSold = MarketSell(dir = dir, date = d, orderTime = 140001, 
                       dfLog = dfLog, costOut = 0.001, market = 'SHSZ')


df <- rbind(df, dfLogSold)
pnl <- c(pnl, TotalPnL(dir = dir, df = df, date = d))
}

PerformanceReport(df = df, cumPnL = pnl, initCap = 1e6)

TickExec documentation built on May 2, 2019, 9:58 a.m.