R_buildignore/_deleted_parts.R
In dppalomar/portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets
# # compute ROT based on absolute dollars
# PnL <- diff(NAV); colnames(PnL) <- "PnL"
# this is wrong: delta_abs <- diff(as.vector(NAV) * w)
# delta_abs[-rebalance_indices, ] <- 0 # only keep the rebalanced ones
# turnover_abs <- xts(rowSums(abs(delta_abs)), index(delta_abs))
# ROT_bips <- sum(PnL, na.rm = TRUE)/sum(turnover_abs, na.rm = TRUE)*1e4
dppalomar/portfolioBacktest documentation built on April 27, 2022, 3:27 a.m.
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# # compute ROT based on absolute dollars
# PnL <- diff(NAV); colnames(PnL) <- "PnL"
# this is wrong: delta_abs <- diff(as.vector(NAV) * w)
# delta_abs[-rebalance_indices, ] <- 0 # only keep the rebalanced ones
# turnover_abs <- xts(rowSums(abs(delta_abs)), index(delta_abs))
# ROT_bips <- sum(PnL, na.rm = TRUE)/sum(turnover_abs, na.rm = TRUE)*1e4
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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