################################################################################
# FUNCTION:
# meanAbsoluteDeviation
# nVariance
# sampleVariance
# nStandardDeviation
# sampleStandardDeviation
# annualisedStandardDeviation
# frequency
# numberOfData
# sharpeRatio
# mSquared
# mSquaredExcess
# diffReturn
# GrahamHarvey1
# GrahamHarvey2
################################################################################
meanAbsoluteDeviation <-
mad
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
sampleVariance <-
var
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
sampleVar <-
function(R)
{
# A function implemented by Diethelm Wuertz
n = length(R)
n * var(R) / (n-1)
}
# ------------------------------------------------------------------------------
nStandardDeviation <-
sd
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
sampleStandardDeviation <-
function(R)
{
# A function implemented by Diethelm Wuertz
sqrt(sampleVariance(R))
}
# ------------------------------------------------------------------------------
annualisedStandardDeviation <-
function(R, scale = c("quarterly", "monthly", "weekly", "daily"))
{
# A function implemented by Diethelm Wuertz
# Example:
# annualisedStandardDeviation(R, "m")
Scale = .scale(scale)
ans = nStandardDeviation(R) * sqrt(Scale)
names(ans) <- "annualisedStandardDeviation"
ans
}
# ------------------------------------------------------------------------------
# frequency
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# numberOfData
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# sharpeRatio
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# mSquared
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# mSquaredExcess
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# diffReturn
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# GrahamHarvey1
# A function implemented by Diethelm Wuertz
# ------------------------------------------------------------------------------
# GrahamHarvey2
# A function implemented by Diethelm Wuertz
# ##############################################################################
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