sumstat: Summary statistics

In Bjerring/rispackage4: RIS alpha

Usage

sumstat(b.test, ETFs)

Arguments

b.test
ETFs

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (b.test, ETFs) 
{
    dat <- diff(log(b.test[seq(1, length(b.test), 52)]))
    sds <- sd(dat)
    means <- mean(dat) * 100
    sharpe <- mean(dat)/sds
    maxs <- max(dat) * 100
    mins <- min(dat) * 100
    output <- c()
    output[1] <- sds
    output[2] <- means
    output[3] <- maxs
    output[4] <- mins
    output[5] <- sharpe
    names(output) <- c("Standard Deviation.", "Average Return", 
        "Max Annual Return", "Min Annual Return", "Sharpe Ratio")
    return(output)
  }

Bjerring/rispackage4 documentation built on May 6, 2019, 7:56 a.m.