getExtStats: Function getExtStats() calculates additional statistics

In cloudcello/rfintools: Utility Functions

Description

1. if the last record of transactions table is not 'completing' a trade the last row of the aggregated ppl table is removed before "cbinding" 2. the first row of trx table must not contain the 'empty' ('init'/'0') data i.e. it must be removed before calling getExtStats The if the first transaction recorded in the subset of a table of transactions is exiting a position, it is counted as a trade (only 'flat-to-flat' transaction definition is supported at the moment)

Usage

getExtStats(portfolio, symbol, ppl, trx, dateMin, dateMax, dates = NULL,
  interval, ...)

Arguments

ppl	'position PL' data frame w/o the initialization 'record' ('row')
trx	'transactions' data frame w/o the initialization 'record' ('row')

Details

TODO: a proper table of 'trades' is needed in the portfolio itself such a table shall contain trades as defined in the argument to tradeStats 3 methods to define a trade: "flat-to-flat" "position-reducing" "logically-tagged-open-closed" (algorithm specific) (source: http://quant.stackexchange.com/questions/9213/how-do-order-management-matching-systems-match-allocate-orders-and-filled-price) — Additional reference: https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf?root=blotter methods to calculate round-trip trades: 1. FIFO 2. tax lots 3. flat to flat 4. flat to reduced 5. increased to reduced (a superior alternative to FIFO) & avg.cost —

cloudcello/rfintools documentation built on May 13, 2019, 8:17 p.m.