rtn.persum: combine rtn.periods and rtn.summary

In QuantAndrew/quantbox: Auxiliary toolbox for quant research.

Description

combine rtn.periods and rtn.summary

Usage

rtn.persum(rtn, freq = "year", Rf = 0, showPer = T)

Arguments

rtn	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
freq	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.
Rf	risk free rate, in same period as your returns

Value

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

See Also

rtn.periods

rtn.summary

Examples

rtn <- rtndemo
rtn <- xts::xts(rtn[,-1],rtn[,1])
rtn.persum(rtn)

QuantAndrew/quantbox documentation built on May 8, 2019, 3:50 a.m.