metrics: Calculate Various Performance Metrics

Description Usage Arguments Value References Examples

Description

Useful for comparing metrics for several investments. The first investment is used as the benchmark if requested metrics require one.

Usage

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metrics(tickers = NULL, ..., gains = NULL, prices = NULL,
  perf.metrics = c("mean", "sd", "growth", "cagr", "mdd", "sharpe", "sortino",
  "alpha", "beta", "r.squared", "pearson", "spearman", "auto.pearson",
  "auto.spearman"))

Arguments

tickers

Character vector of ticker symbols that Yahoo! Finance recognizes, if you want to download data on the fly.

...

Arguments to pass along with tickers to load_gains.

gains

Numeric matrix with 1 column of gains for each investment (can be a vector if there is only one).

prices

Numeric matrix with 1 column of prices for each investment (can be a vector if there is only one).

perf.metrics

Character vector specifying metrics to calculate.

Value

List containing:

  1. Numeric matrix named perf.metrics with performance metrics.

  2. Numeric matrix named cor.mat with correlation matrix for gains for the various investments.

References

Ryan, J.A. and Ulrich, J.M. (2017) quantmod: Quantitative Financial Modelling Framework. R package version 0.4-12, https://CRAN.R-project.org/package=quantmod.

Examples

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## Not run: 
# Calculate performance metrics for SSO and UPRO, using SPY as benchmark 
# for alpha and beta
metrics1 <- metrics(tickers = c("SPY", "SSO", "UPRO"))

## End(Not run)

stocks documentation built on May 2, 2019, 9:43 a.m.