tradeStats: calculate statistics on transactions and P&L for a symbol or...
In cloudcell/blotter: Tools for Transaction-Oriented Trading Systems Development

Description Usage Arguments Details Value Note Author(s) See Also

This function calculates trade-level statistics on a symbol or symbols within a portfolio or portfolios.

tradeStats(Portfolios, Symbols, use = c("txns", "trades"),
  tradeDef = "flat.to.flat", inclZeroDays = FALSE)

dailyStats(Portfolios, use = c("equity", "txns"))

`Portfolios`	portfolio string
`Symbols`	character vector of symbol strings, default NULL
`use`	for determines whether numbers are calculated from transactions or round-trip trades (for tradeStats) or equity curve (for dailyStats)
`tradeDef`	string to determine which definition of 'trade' to use. Currently "flat.to.flat" (the default) and "flat.to.reduced" are implemented.
`inclZeroDays`	TRUE/FALSE, whether to include zero P&L days in daily calcs, default FALSE for backwards compatibility.

Every book on trading, broker report on an analytical trading system, or blog post seems to have a slightly different idea of what trade statistics are necessary, and how they should be displayed. We choose not to make value judgments of this type, aiming rather for inclusiveness with post-processing for display.

The output of this function is a data.frame with named columns for each statistic. Each row is a single portfolio+symbol combination. Values are returned in full precision. It is likely that the output of this function will have more than you wish to display in all conditions, but it should be suitable for reshaping for display. Building summary reports from this data.frame may be easily accomplished using something like textplot or data.frame, with rounding, fancy formatting, etc. as your needs dictate.

Option inclZeroDays, if TRUE, will include all transaction P&L, including for days in which the strategy was not in the market, for daily statistics. This can prevent irrationally good looking daily statistics for strategies which spend a fair amount of time out of the market. For strategies which are always in the market, the statistics should be (nearly) the same. Default is FALSE for backwards compatibility.

If you have additional trade statistics you want added here, please share. We find it unlikely that any transaction-level statistics that can be calculated independently of strategy rules could be considered proprietary.

Special Thanks for contributions to this function from:

Josh Ulrich: for adding multiple-portfolio support, fixing bugs, and improving readability of the code
Klemen Koselj: for median stats, num trades, and win/loss ratios
Mark Knecht: for suggesting Profit Factor and largest winner/largest loser

WARNING: we're not sure this function is stable/complete yet. If you're using it, please give us feedback!

a data.frame containing:

Portfolio: name of the portfolio
Symbol: symbol name
Num.Txns: number of transactions produced by addTxn
Num.Trades: number of flat to flat trades performed
Net.Trading.PL
Avg.Trade.PL: mean trading P&L per trade
Med.Trade.PL: median trading P&L per trade
Largest.Winner: largest winning trade
Largest.Loser: largest losing trade
Gross.Profits: gross (pre-fee) trade profits
Gross.Losses: gross trade losses
Std.Dev.Trade.PL: standard deviation of trade P&L
Percent.Positive: percent of trades that end positive
Percent.Negative: percent of trades that end negative
Profit.Factor: absolute value ratio of gross profits over gross losses
Avg.Win.Trade: mean P&L of profitable trades
Med.Win.Trade: median P&L of profitable trades
Avg.Losing.Trade: mean P&L of losing trades
Med.Losing.Trade: median P&L of losing trades
Avg.Daily.PL: mean daily realized P&L on days there were transactions, see dailyStats for all days
Med.Daily.PL: median daily P&L
Std.Dev.Daily.PL: standard deviation of daily P&L
Ann.Sharpe: annualized Sharpe-like ratio, assuming no outside capital additions and 252 day count convention
Max.Drawdown: max drawdown
Avg.WinLoss.Ratio: ratio of mean winning over mean losing trade
Med.WinLoss.Ratio: ratio of median winning trade over median losing trade
Max.Equity: maximum account equity
Min.Equity: minimum account equity