periodData-class: Class "periodData"

In portfolioSim: Framework for simulating equity portfolio strategies

Description

Contains data from the simulation that pertains to the passing of time during a period, such as performance and trading activity.

Objects from the Class

Objects can be created by calls of the form new("periodData", ...).

Slots

period:

Object of class "orderable" specifying the period to which the object pertains.

turnover:

Object of class "numeric" that contains the total value of trades, in a reference currency, executed during the trading period.

universe.turnover:

Object of class "numeric" that contains the total value of positions, in a reference currency, that have exited the universe. Positions in securities held in the previous period but delisted in this period would contribute to this value.

performance:

Object of class "performance" specifying return and profit for the period.

contribution:

Object of class "contribution" specifying contributions of various categories of positions to total performance for the period.

trades:

Object of class "trades" specifying the set of trades executed during this period.

Methods

saveOut

signature(object = "periodData", type = "character", fmt = "missing", out.loc = "character", name = "character", verbose = "logical"): save this object. Currently only one format, binary .RData, is available, and so the fmt parameter is missing here.

Author(s)

Jeff Enos [e-mail]

See Also

instantData-class

portfolioSim documentation built on May 1, 2019, 9:23 p.m.