Description Usage Arguments Value Examples

Calculates risk-return ratio, defined as growth rate divided by maximum drawdown.

1 |

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

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

Numeric value or vector.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 | ```
# Simulate daily gains over a 5-year period
set.seed(123)
stock.gains <- rnorm(252 * 5, 0.0005, 0.01)
# Convert to daily balances assuming an initial balance of $10,000
daily.balances <- gains_prices(stock.gains + 1)
# Total return is about 1.23
daily.balances[length(daily.balances)] / daily.balances[1] - 1
# Maximum drawdown is about 0.19
mdd(prices = daily.balances)
# Ratio of these two is about 6.48
(daily.balances[length(daily.balances)] / daily.balances[1] - 1) /
mdd(daily.balances)
# Easier to calculate using rrr function
rrr(daily.balances)
``` |

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

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