Description Usage Arguments Value Examples
Give 13 basic indicators base on the simple arithmetic investments.
1 | PerformanceReport(df, cumPnL, initCap = NA)
|
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'. |
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. |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | ## 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)
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