Calculate cumulative pnl, mean pnl, dollar sharpe ratio
This function takes in a data frame and calculates the cumulative P&L, daily P&L, annualized P&L, P&L volatility and dollar sharpe ratio as well as three biggest drawdowns. There are also average daily return rate and the standard deviation of daily return rates.
calc_pnl(x, trade.freq = 7)
A data frame that contains data for individual commodities.
The trading frequency of the portfolio, numeric
a list ith cumulative pnl, mean pnl, annualized volatility of pnl, dollar sharpe ratio and drawdown
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