exp_po_stat: Profit Factor and Expected Payoff

In Michele1973/TAaUF: Technical Analysis and Useful Functions

Description

This function is meant to calculate the strategy payoff and expected payoff plus the hit ratio and the total trades occured in a strategy.

Usage

exp_po_stat (ret, signals, roll = TRUE, digits = 5, commiss=TRUE, spread=0.0001)

Arguments

ret	a xts object vector of trading returns
signals	a xts object vector containing all long/short signals.
roll	Setting on "TRUE" for rolling purposes, you are given the extract payoff and expected payoff. Setting on "FALSE" you are given all statistica such as max drawdown, total returns, Profit Factor, Expected Payoff, hit ratio, trades total number and the win percetnage rate. (default "TRUE").
digits	digits numbers to use in output statistics
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.

Examples

exp_po_stat (rnorm(500), roll=TRUE, digits=5)

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