rtn.summary: rtn.summary
In QuantAndrew/QUtility:

Description Usage Arguments Value Author(s) Examples

get the summary infomation of the rtn series,including Annualized Return,Annualized Std Dev,Annualized Sharpe,HitRatio,Worst Drawdown

1	rtn.summary(rtn, hitFreq = "day", hitSatisfied = 0, Rf = 0)

`rtn`	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
`hitFreq, indicating`	the interval when computing the hitRatio of rtn. An interval specification, one of "day", "week", "month", "quarter" and "year", optionally preceded by an integer and a space, or followed by "s".See `cut.Date` for detail.
`hitSatisfied`	a numeric, indicating how much return could be called a "hit".See `hitRatio` for detail.
`Rf`	risk free rate, in same period as your returns

a matrix, giving the summary infomation of the rtn series,including Annualized Return,Annualized Std Dev,Annualized Sharpe,HitRatio,Worst Drawdown

Ruifei.Yin

rtn.long <- zoo(rnorm(100,0.001,0.02),as.Date("2010-01-01")+1:100)
rtn.short <- rtn.long + rnorm(100,-0.001,0.003)
rtn <- merge(rtn.long,rtn.short)
rtn.summary(rtn)