ProfitFactorExtended: Calculate Profit Factor extended format and Kelly Ratio

In Michele1973/TAaUF: Technical Analysis and Useful Functions

Description

This is an extensive Profit Factor calculator that gives back many other coefficients to calculate the good/bad trading strategy profitability.

Usage

ProfitFactorExtended (ret, signals, kelly=FALSE, commiss=TRUE, spread=0.0001)

Arguments

ret	a xts object vector of trading returns
signals	an xts vector object containing Long/Short signals in -1/+1 format
commiss	Set on "TRUE" to take account of comissions calculated as spread on every single trade.
spread	spread commisison to calculate when commiss is set to TRUE.It subtract the spread cost value to each trade.

Value

Returns Profit Factor value, percentage of winner trades versus losers, average win/loser ratio, expectancy ratio, average trade, weighted average, profit factor breakeven, optimum win percetnage, expexcted drawdown and the pessimistic return ratio.

References

Evaluating Trading Systems by John Ehlers and Ric Way (http://www.mesasoftware.com/papers/SystemEvaluation.pdf).

Portfolio Management Formulas, Vince, Ralph (ISBN: 0-471-52756-4), (http://boards.fool.com/performance-measures-pessimistic-return-ratio-10846009.aspx?sort=postdate). Known as Pessimistic Return Ratio (PRR).

Examples

# buy below EMA sell when prices are above EMA strategy
x<-db[,'eur']
ma1<-TTR::EMA(x,21)
signals<-lag(ifelse(x>ma1,-1,ifelse(x<ma1,1,0)),1)
ret<-signals*TTR::ROC(x)
ProfitFactorExtended(ret, signals, kelly=FALSE, commiss = TRUE, spread = spread_calc(x,0.00007))

Michele1973/TAaUF documentation built on May 29, 2019, 4:44 a.m.