util_profit_factor: Calculate Profit Factor

In lazytrade: Learn Computer and Data Science using Algorithmic Trading

Calculate Profit Factor

Description

Calculate profit factor using a data vector with the trading results

Usage

util_profit_factor(x)

Arguments

x	column vector with profit or loss of the orders for one system

Value

function should calculate profit factor for this vector and return one value also as vector

Author(s)

(C) 2019 Vladimir Zhbanko

Examples

library(magrittr)
library(dplyr)
library(lazytrade)
data(profit_factor_data)
profit_factor_data %>%
   group_by(X1) %>%
   summarise(PnL = sum(X5),
             NumTrades = n(),
             PrFact = util_profit_factor(X5)) %>%
   select(PrFact) %>% head(1) %>% round(3)

lazytrade documentation built on Sept. 12, 2024, 9:36 a.m.