omegaRatio: Omega ratio
In alejandro-sotolongo/InvTools:
Usage
1
omegaRatio(ret, mar = 0)
Arguments
ret
data.frame or tibble organized by columns with dates in first
column
mar
minimum acceptable return
Details
Calculates based on emperical density. CDF of returns are subsetted
by CDF of return above MAR (UpCDF) and below MAR (DownCDF). Then omega =
(UpCDF \* Returns above MAR) / (DownCDF \* Returns below MAR).
alejandro-sotolongo/InvTools documentation built on Nov. 1, 2019, 9:08 p.m.
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Usage
1 | omegaRatio(ret, mar = 0)
|
Arguments
ret |
data.frame or tibble organized by columns with dates in first column |
mar |
minimum acceptable return |
Details
Calculates based on emperical density. CDF of returns are subsetted by CDF of return above MAR (UpCDF) and below MAR (DownCDF). Then omega = (UpCDF \* Returns above MAR) / (DownCDF \* Returns below MAR).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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