View source: R/genericStrategy.R
addToReport | R Documentation |
Add statistic to report of strategy
addToReport(this, ...) ## S3 method for class 'Strategy' addToReport(this, ...)
this |
Strategy |
... |
Stats or function objects. Function should have arguments as follows function(this, start, end), where this - Strategy start - numeric index of starting point end - numeric index of ending point |
## Not run: addToReport(this, Stats$sharpe, double_sharpe=function(this, start, end){ pnl <- getPnL(this) dates <- getDateByIndex(this, c(start, end)) pnl <- pnl[paste0(dates[1], '/', dates[2])] sharpes <- rollapply(diff(pnl), width = 252, FUN=SharpeRatio.mean, by=30, align='right') %>% na.omit sharpes %>% {mean(.) / sd(.) * sqrt(12)} }) ## End(Not run)
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