inst/tinytest/test_pl.R
In enricoschumann/PMwR: Portfolio Management with R
## closed trade: vprice specified but ignored
J <- journal(amount = c(1,-1),
price = c(1,2))
expect_equal(pl(J),
pl(J, vprice = 3))
## --------------------------------------------------
## vprices tests
P <- structure(c(1739.49, 1752.53, 1752.79, 1745.53,
1734.71, 1745.72, 1773.84, 1796.94,
1818.51, 1800.8, 1781.6, 1769.96, 1760.69,
1740.48, 1751.6, 1749.51, 1739.21, 1748.72,
1760.33, 1760.94, 1769.21, 1790.66,
1784.03, 1792.28, 1786.5, 1793, 1789.21,
1868.77, 1869.8, 1846.89, 1847.84, 1898.01,
1874.97, 1902.88, 1906.86, 1891.97,
1901.05, 1883.16, 1891.3, 1869.44, 1862.02,
1877.94, 1864.72, 1892, 1887.46, 1884.58,
1861.64, 1828.34, 1853.25, 1858, 1870.68,
2008.72, 2004.2, 2049.67, 2039.87, 2050.23,
2079.28, 2133.91, 2150.8, 2160, 2149.87,
2134.87, 2155.67, 2170.22, 2153.1, 2095.97,
265.76, 267.1, 266.29, 263.19, 262.01,
261.78, 266.37, 264.29, 267.84, 267.25,
264.16, 259.45, 261.74, 265.58, 270.71,
266.92, 268.48, 270.77, 271.46, 275.15,
279.86, 280.41, 279.74, 280.02, 279.44,
284, 284.27, 289.91, 289.8, 291.52, 293.65,
300.35, 297.43, 299.8, 298.39, 303.19,
309.63, 310.33, 316.96, 312.68, 311.34,
315.24, 318.73, 316.57, 317.7, 319.23,
318.31, 308.95, 317.69, 324.34, 323.87,
309.51, 308.66, 318.85, 321.45, 325.21,
320.03, 321.55, 319.61, 327.2, 324.87,
324.95, 319, 323.62, 320.3, 313.05, 149.97,
150.34, 150.39, 149.62, 149.48, 149.59,
151.23, 152.03, 152.32, 151.38, 149.55,
149.31, 149.85, 149.93, 151.75, 151.36,
151.13, 151.7, 153.24, 154.53, 155.53,
154.69, 154.37, 155.71, 157.41, 157.41,
157.38, 158.67, 158.96, 157.59, 157.7,
160.62, 158.62, 159.03, 157.58, 160.09,
162.09, 161.34, 163.28, 162.13, 163.18,
166.17, 167.1, 166.5, 165.7, 166.72,
165.04, 162.28, 165.46, 168.04, 172.78,
170.23, 174.38, 180.12, 179.9, 183.63,
183.89, 188.7, 184.44, 184.71, 183.71,
185.35, 187.23, 187.28, 184.42, 178.59),
.Dim = c(66L, 3L),
.Dimnames = list(
NULL, c("AMZN", "AAPL", "MSFT")))
timestamp.P <- structure(
c(18215, 18218, 18219, 18220,
18221, 18222, 18225, 18226,
18227, 18229, 18232, 18233,
18234, 18235, 18236, 18239,
18240, 18241, 18242, 18243,
18246, 18247, 18248, 18249,
18250, 18253, 18254, 18256,
18257, 18260, 18261, 18263,
18264, 18267, 18268, 18269,
18270, 18271, 18274, 18275,
18276, 18277, 18278, 18282,
18283, 18284, 18285, 18288,
18289, 18290, 18291, 18292,
18295, 18296, 18297, 18298,
18299, 18302, 18303, 18304,
18305, 18306, 18310, 18311,
18312, 18313), class = "Date")
J <- journal()
for (asset in colnames(P)) {
amount <- sample(c(-20, -10, 10, 20), size = 5, replace = TRUE)
timestamp <- sample(timestamp.P, size = 5, replace = TRUE)
J <- c(J,
journal(amount = amount,
timestamp = timestamp,
price = P[match(timestamp, timestamp.P), asset],
instrument = asset))
}
J <- structure(list(timestamp = structure(
c(18257, 18302, 18291, 18260, 18276, 18271,
18284, 18232, 18246, 18304, 18227, 18254,
18312, 18232, 18267), class = "Date"),
amount = c(10, -10, -10, -10, 10, 10, 20,
10, -10, -10, 20, -20, 10, -10, 10),
price = c(1869.8, 2133.91, 1870.68, 1846.89,
1862.02, 310.33, 319.23, 264.16,
279.86, 327.2, 152.32, 157.38, 184.42,
149.55, 159.03),
instrument = c("AMZN", "AMZN", "AMZN", "AMZN",
"AMZN", "AAPL", "AAPL", "AAPL",
"AAPL", "AAPL", "MSFT", "MSFT",
"MSFT", "MSFT", "MSFT")),
class = "journal")
## J <- structure(list(timestamp = structure(c(18218, 18292, 18218, 18242,
## 18312, 18284, 18233, 18246, 18233, 18257, 18313, 18229, 18246,
## 18220, 18226, 18270, 18303, 18232, 18275, 18306, 18219, 18235,
## 18229, 18302, 18298, 18236, 18285, 18256, 18226, 18263), class = "Date"),
## amount = c(-10, 20, 10, 20, 20, 20, -10, -10, 20, -10, 20,
## 20, -20, -20, -10, 20, 20, -10, 20, -10, -10, -20, -20, -20,
## 20, -20, -10, 20, 10, -20), price = c(1752.53, 2008.72, 1752.53,
## 1760.33, 2153.1, 1884.58, 1769.96, 1769.21, 1769.96, 1869.8,
## 313.05, 267.25, 279.86, 263.19, 264.29, 309.63, 319.61, 264.16,
## 312.68, 324.95, 150.39, 149.93, 151.38, 188.7, 183.63, 151.75,
## 165.04, 158.67, 152.03, 160.62), instrument = c("AMZN", "AMZN",
## "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN",
## "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL",
## | timestamp | amount | price | instrument |
## |------------------+--------+---------+------------|
## | [2019-12-27 Fri] | 10 | 1869.8 | AMZN |
## | [2020-02-10 Mon] | -10 | 2133.91 | AMZN |
## | [2020-01-30 Thu] | -10 | 1870.68 | AMZN |
## | [2019-12-30 Mon] | -10 | 1846.89 | AMZN |
## | [2020-01-15 Wed] | 10 | 1862.02 | AMZN |
## | [2020-01-10 Fri] | 10 | 310.33 | AAPL |
## | [2020-01-23 Thu] | 20 | 319.23 | AAPL |
## | [2019-12-02 Mon] | 10 | 264.16 | AAPL |
## | [2019-12-16 Mon] | -10 | 279.86 | AAPL |
## | [2020-02-12 Wed] | -10 | 327.2 | AAPL |
## | [2019-11-27 Wed] | 20 | 152.32 | MSFT |
## | [2019-12-24 Tue] | -20 | 157.38 | MSFT |
## | [2020-02-20 Thu] | 10 | 184.42 | MSFT |
## | [2019-12-02 Mon] | -10 | 149.55 | MSFT |
## | [2020-01-06 Mon] | 10 | 159.03 | MSFT |
J
## instrument timestamp amount price
## 1 AMZN 2019-12-27 10 1869.80
## 2 AMZN 2020-02-10 -10 2133.91
## 3 AMZN 2020-01-30 -10 1870.68
## 4 AMZN 2019-12-30 -10 1846.89
## 5 AMZN 2020-01-15 10 1862.02
## 6 AAPL 2020-01-10 10 310.33
## 7 AAPL 2020-01-23 20 319.23
## 8 AAPL 2019-12-02 10 264.16
## 9 AAPL 2019-12-16 -10 279.86
## 10 AAPL 2020-02-12 -10 327.20
## 11 MSFT 2019-11-27 20 152.32
## 12 MSFT 2019-12-24 -20 157.38
## 13 MSFT 2020-02-20 10 184.42
## 14 MSFT 2019-12-02 -10 149.55
## 15 MSFT 2020-01-06 10 159.03
##
## 15 transactions
pl(J)
## AAPL
## P/L total NA
## average buy 303.2375
## average sell 303.53
## cum. volume 60
##
## AMZN
## P/L total NA
## average buy 1865.91
## average sell 1950.493
## cum. volume 50
##
## MSFT
## P/L total NA
## average buy 162.0225
## average sell 154.77
## cum. volume 70
##
## ‘P/L total’ is in units of instrument;
## ‘volume’ is sum of /absolute/ amounts.
## ‘sum(amount)’ is not zero for AAPL: specify ‘vprice’ to compute P/L.
## ‘sum(amount)’ is not zero for AMZN: specify ‘vprice’ to compute P/L.
## ‘sum(amount)’ is not zero for MSFT: specify ‘vprice’ to compute P/L.
position(J)
## 2020-02-20
## AAPL 20
## AMZN -10
## MSFT 10
pl(J, vprice = c(AMZN = 2020, MSFT = 178, AAPL = 311))
## str(timestamp.P)
## Date[1:66], format: "2019-11-15" "2019-11-18" ...
## str(P)
## num [1:66, 1:3] 1739 1753 1753 1746 1735 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:3] "AMZN" "AAPL" "MSFT"
PL <- pl(J, vprice = P, along.timestamp = timestamp.P)
PL <- sapply(PL, `[[`, "pl")
tail(PL, 5)
## AAPL AMZN MSFT
## 2020-02-14 440.1 -152.1 6.4
## 2020-02-18 321.1 -360.1 6.4
## 2020-02-19 413.5 -505.6 6.4
## 2020-02-20 347.1 -334.4 6.4
## 2020-02-21 202.1 236.9 -51.9
ii <- c(1, datetimeutils::nth_day(timestamp.P, ## extract position of last day of month
period = "month", n = "last",
index = TRUE))
diff(PL[ii, ])
## AAPL AMZN MSFT
## 2019-11-29 0.0 0.0 -18.8
## 2019-12-31 157.0 -229.1 38.5
## 2020-01-31 -202.6 86.6 -13.3
## 2020-02-21 247.7 379.4 -58.3
ii <- J$instrument == "AMZN"
J$price[ii] <- P[match(J["AMZN"]$timestamp, timestamp.P), "AMZN"]
##
expect_equal(pl(amount = c(1,-1),
price = c(1,2))[[1]][["pl"]], 1)
expect_equal(pl(amount = c(1,-1), price = c(1,2)),
structure(list(structure(list(pl = 1,
realised = NA,
unrealised = NA,
buy = 1,
sell = 2,
volume = 2),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE, instrument = NA))
ans <- pl(amount = 1, price = 1,
initial.position = 1, initial.price = 1,
vprice = 2)
attr(ans, "footnotes") <- NULL
expect_equal(ans,
structure(list(structure(list(pl = 2,
realised = NA,
unrealised = NA,
buy = 1,
sell = 2,
volume = 1),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE, instrument = NA))
x <- pl(amount = c(1,-1, 20,-20),
price = c(100,102, 4,7),
instrument = c("Equity A", "Equity A", "Equity B", "Equity B"))
expect_equal(x,
structure(list(`Equity A` = structure(list(pl = 2,
realised = NA,
unrealised = NA,
buy = 100, sell = 102,
volume = 2),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume")),
`Equity B` = structure(list(pl = 60,
realised = NA,
unrealised = NA,
buy = 4, sell = 7,
volume = 40),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE,
instrument = c("Equity A",
"Equity B"),
.Names = c("Equity A", "Equity B")))
## pl(pl(...))
expect_equal(pl(x),
structure(c(2, 60), .Names = c("Equity A", "Equity B")))
expect_equal(as.data.frame(x),
structure(list(pl = c(2, 60),
buy = c(100, 4),
sell = c(102, 7),
volume = c(2, 40)),
.Names = c("pl", "buy",
"sell", "volume"),
row.names = c("Equity A", "Equity B"),
class = "data.frame"))
## open positions and no vprice specified => pl is NA
timestamp <- 1:4
amount <- c(1,1,1,1)
price <- 101:104
instrument <- "Bond"
jnl <- journal(timestamp=timestamp, amount=amount,
price=price, instrument=instrument)
expect_true(is.na(suppressWarnings(pl(jnl)[[1]][["pl"]])))
## initial position
tmp <- pl(journal(),
initial.position = 1,
initial.price = 100,
vprice = 105)
expect_equal(tmp[[1]][["pl"]], 5)
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100),
vprice = c(A = 105, B = 110))
expect_equal(tmp[[1]][["pl"]],5)
expect_true(is.na(tmp[[2]][["pl"]]))
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(B = 110, A = 105))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(), multiplier = 2,
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=10,B=40))
## initial position can be a 'position'
tmp <- pl(journal(),
initial.position = position(amount = c(1,2),
instrument = c("A", "B")),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(),
initial.position = position(amount = c(2,1),
instrument = c("B", "A")),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
## initial position can be a 'journal'
tmp <- pl(journal(),
multiplier = c(A = 2,
B = 4),
initial.position = journal(amount = c(2,1),
instrument = c("B", "A")),
initial.price = c(A = 100,
B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=10,B=80))
## amount <- c(1,1,-1,1,-1)
## price <- c(100,99,101,100,101)
## pl(amount, price, along.timestamp = TRUE)
## amount <- c(1,-2,1)
## price <- c(100,101,100)
## pl(amount, price)
## pl(amount, price, along.timestamp = TRUE)
## tmp <- splitTrades(amount, price, timestamp = seq_along(amount),
## aggregate = TRUE)
## J <- journal(timestamp = c(1, 2, 3),
## amount = c(1, 1, -2),
## price = c(100,102, 101))
## pl(c(1, 1, -2), c(100,102, 101))
## pl(amount = 1, price = 1, vprice = 2)
## pl(amount = 1, price = 2, initial.position = 1,
## initial.price = 1, vprice = 3)
## amount <- c(1,1,-1,1,-2)
## price <- c(100,102,105,102,105)
## cumcash <- cumsum(-price * amount)
## cumpos <- cumsum(amount)
## pnl <- cumpos * price + cumcash
## multiplier
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 0)[[1L]][["pl"]], 0)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 1)[[1L]][["pl"]], 1)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2))[[1L]][["pl"]], 1)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 2)[[1]][["pl"]], 2)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
instrument = c("B", "B"),
multiplier = c(A = 1, B = 2))[[1L]][["pl"]], 2)
## along.timestamp: user-specified: open trade
j <- journal(amount = 1,
timestamp = 2.5,
price = 102)
res <- pl(j, along.timestamp = 1:10,
vprice = 101:110)
expect_equal(res[[1]]$timestamp, 1:10)
### .... total pnl
expect_equivalent(res[[1]]$pl,
c(0, 0, 1, 2, 3, 4, 5, 6, 7, 8))
### .... and split pnl
expect_equivalent(res[[1]]$pl[-(1:2)], 1:8)
expect_equivalent(res[[1]]$unrealised[-(1:2)], 1:8)
expect_true(all(res[[1]]$realised[-(1:2)] == 0))
### .... pnl before trades should be either 0 or NA
expect_true(all(is.na(res[[1]]$pl[(1:2)]) | res[[1]]$pl[(1:2)]==0L))
expect_true(all(is.na(res[[1]]$realised) | res[[1]]$realised==0))
## along.timestamp: user-specified: closed trade
j <- journal(amount = c(1,-1),
timestamp = c(2.5,9),
price = c(102, 109))
res <- pl(j, along.timestamp = 1:10,
vprice = 101:110)
expect_equal(res[[1]]$timestamp, 1:10)
### .... total pnl
expect_equivalent(res[[1]]$pl,
c(0, 0, 1, 2, 3, 4, 5, 6, 7, 7))
### .... and split pnl
expect_equivalent(res[[1]]$pl[-(1:2)], c(1:7,7))
expect_equivalent(res[[1]]$unrealised[-(1:2)],
c(1, 2, 3, 4, 5, 6, 0, 0))
expect_equivalent(res[[1]]$realised[-(1:2)],
c(0, 0, 0, 0, 0, 0, 7, 7))
### .... pnl before trades should be either 0 or NA
expect_true(all(is.na(res[[1]]$pl[(1:2)]) | res[[1]]$pl[(1:2)]==0L))
## along.timestamp
j <- journal(amount = c(1,-1),
timestamp = c(1,2.5),
price = c(100,101))
pl(j, along.timestamp = TRUE)
expect_equivalent(pl(j, along.timestamp = TRUE)[[1]]$pl,
0:1)
### ... journal timestamp
expect_equal(pl(j, along.timestamp = TRUE)[[1]]$timestamp,
c(1,2.5))
tmp <- pl(amount = 1, timestamp = 0, price = 100,
vprice = 101:110, along.timestamp = 1:10)
expect_equivalent(tmp[[1]]$pl, 1:10)
### ... custom timestamp
expect_equal(tmp[[1]]$timestamp, 1:10)
## should work since vprice is timestamp-agnostic:
## it just computes the current PL, no matter the
## time
res <- pl(journal(),
initial.position = 1, initial.price = 100,
vprice = 101)
expect_equal(pl(res), 1)
expect_equal(res[[1]]$buy, 100)
expect_equal(res[[1]]$sell, 101)
expect_equal(res[[1]]$volume, 0)
## should *not* work since the initial price has no
## timestamp, but for vprice the timestamps are
## specified
expect_error(
pl(journal(),
initial.position = 1, initial.price = 1,
vprice = 101:110, along.timestamp = 1:10))
res <- pl(journal(amount = 1,
price = 2.5,
timestamp = 3),
along.timestamp = 1:10,
vprice = 1:10)
expect_equal(res[[1]]$timestamp, 1:10)
expect_equivalent(res[[1]]$unrealised[10], 7.5)
expect_equivalent(res[[1]]$realised[10], 0.0)
res <- pl(journal(amount = 1:2,
price = 1:2,
timestamp = 3),
along.timestamp = 1:10,
vprice = 1:10)
expect_equal(res[[1]]$volume,
c(0, 0, 3, 3, 3, 3, 3, 3, 3, 3))
expect_equivalent(res[[1]]$unrealised[3], 4)
expect_equivalent(res[[1]]$unrealised[4], 7)
## unsorted timestamp: gets sorted
jnl <- journal(price = c( 90, 50, 100),
amount = c( 1, 1, -2),
timestamp = 3:1)
expect_equal(pl(jnl, along.timestamp = TRUE)[[1]]$timestamp, 1:3)
## implicit timestamp
jnl <- journal(price = c( 90, 50, 100),
amount = c( 1, 1, -2))
expect_equal(pl(jnl, along.timestamp = TRUE)[[1]]$timestamp, 1:3)
## data.frame method
D <- data.frame(price = c(100,102),
amount = c(1,-1))
J <- journal(price = c(100,102),
amount = c(1,-1))
expect_equal(pl(D), pl(J))
## empty journal: pl/volume should be zero
expect_equal(pl(journal()),
structure(list(
structure(list(pl = 0,
realised = NA,
unrealised = NA,
buy = NaN,
sell = NaN,
volume = 0),
.Names = c("pl", "realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl",
along.timestamp = FALSE,
instrument = NA))
## https://quant.stackexchange.com/questions/36505/calculate-day-to-day-change-in-value-of-open-position
j <- journal(amount = c(100, -100),
price = c(7418.04, 7433.29),
timestamp = as.POSIXct(c("20070829 1400",
"20070829 1724"),
format = "%Y%m%d %H%M"))
expect_equal(pl(j)[[1]]$pl, 1525)
expect_equal(pl(j),
structure(list(structure(
list(pl = 1525,
realised = NA,
unrealised = NA,
buy = 7418.04,
sell = 7433.29,
volume = 200),
.Names = c("pl", "realised",
"unrealised",
"buy", "sell",
"volume"))),
class = "pl",
along.timestamp = FALSE,
instrument = NA))
timestamp <- as.POSIXct(
c("20070829 0900", "20070829 1000", "20070829 1100",
"20070829 1200", "20070829 1300", "20070829 1400",
"20070829 1500", "20070829 1600", "20070829 1724",
"20070830 0900", "20070830 1000", "20070830 1100",
"20070830 1200", "20070830 1300", "20070830 1400",
"20070830 1500", "20070830 1600", "20070830 1724",
"20070831 0900", "20070831 1000"),
format = "%Y%m%d %H%M")
close <- c(7372.1 , 7372.16, 7428.72, 7418.13, 7422.03,
7418.04, 7426.8 , 7414.65, 7433.29, 7478.72,
7464.2 , 7475.08, 7456.95, 7429.93, 7444.99,
7420.8 , 7479.4 , 7487.42, 7554.82, 7552.3)
expect_equal(pl(j, along.timestamp = timestamp, vprice = close)[[1]]$pl,
structure(c(0, 0, 0, 0, 0, 0, 876, -339, 1525, 1525, 1525, 1525,
1525, 1525, 1525, 1525, 1525, 1525, 1525, 1525),
.Names = c("2007-08-29 09:00:00",
"2007-08-29 10:00:00",
"2007-08-29 11:00:00",
"2007-08-29 12:00:00",
"2007-08-29 13:00:00",
"2007-08-29 14:00:00",
"2007-08-29 15:00:00",
"2007-08-29 16:00:00",
"2007-08-29 17:24:00",
"2007-08-30 09:00:00",
"2007-08-30 10:00:00",
"2007-08-30 11:00:00",
"2007-08-30 12:00:00",
"2007-08-30 13:00:00",
"2007-08-30 14:00:00",
"2007-08-30 15:00:00",
"2007-08-30 16:00:00",
"2007-08-30 17:24:00",
"2007-08-31 09:00:00",
"2007-08-31 10:00:00")))
## --------------------------------
## custom 'along.timestamp' for a single timestamp
J <- journal(amount = c(1),
price = c(100),
timestamp = c(1))
ans <- pl(J, along.timestamp = 1, vprice = 101)
expect_equivalent(ans[[1]]$pl, 1)
J <- journal(amount = c(1, -1),
price = c(100, 105),
timestamp = c(1,1))
ans <- pl(J, along.timestamp = 1, vprice = 105)
expect_equivalent(ans[[1]]$pl, 5)
J <- journal(amount = c(1, -1),
price = c(100, 105),
timestamp = c(1,1))
ans <- pl(J, along.timestamp = 1, vprice = 999)
expect_equivalent(ans[[1]]$pl, 5)
enricoschumann/PMwR documentation built on May 3, 2024, 10:08 p.m.
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.
## closed trade: vprice specified but ignored
J <- journal(amount = c(1,-1),
price = c(1,2))
expect_equal(pl(J),
pl(J, vprice = 3))
## --------------------------------------------------
## vprices tests
P <- structure(c(1739.49, 1752.53, 1752.79, 1745.53,
1734.71, 1745.72, 1773.84, 1796.94,
1818.51, 1800.8, 1781.6, 1769.96, 1760.69,
1740.48, 1751.6, 1749.51, 1739.21, 1748.72,
1760.33, 1760.94, 1769.21, 1790.66,
1784.03, 1792.28, 1786.5, 1793, 1789.21,
1868.77, 1869.8, 1846.89, 1847.84, 1898.01,
1874.97, 1902.88, 1906.86, 1891.97,
1901.05, 1883.16, 1891.3, 1869.44, 1862.02,
1877.94, 1864.72, 1892, 1887.46, 1884.58,
1861.64, 1828.34, 1853.25, 1858, 1870.68,
2008.72, 2004.2, 2049.67, 2039.87, 2050.23,
2079.28, 2133.91, 2150.8, 2160, 2149.87,
2134.87, 2155.67, 2170.22, 2153.1, 2095.97,
265.76, 267.1, 266.29, 263.19, 262.01,
261.78, 266.37, 264.29, 267.84, 267.25,
264.16, 259.45, 261.74, 265.58, 270.71,
266.92, 268.48, 270.77, 271.46, 275.15,
279.86, 280.41, 279.74, 280.02, 279.44,
284, 284.27, 289.91, 289.8, 291.52, 293.65,
300.35, 297.43, 299.8, 298.39, 303.19,
309.63, 310.33, 316.96, 312.68, 311.34,
315.24, 318.73, 316.57, 317.7, 319.23,
318.31, 308.95, 317.69, 324.34, 323.87,
309.51, 308.66, 318.85, 321.45, 325.21,
320.03, 321.55, 319.61, 327.2, 324.87,
324.95, 319, 323.62, 320.3, 313.05, 149.97,
150.34, 150.39, 149.62, 149.48, 149.59,
151.23, 152.03, 152.32, 151.38, 149.55,
149.31, 149.85, 149.93, 151.75, 151.36,
151.13, 151.7, 153.24, 154.53, 155.53,
154.69, 154.37, 155.71, 157.41, 157.41,
157.38, 158.67, 158.96, 157.59, 157.7,
160.62, 158.62, 159.03, 157.58, 160.09,
162.09, 161.34, 163.28, 162.13, 163.18,
166.17, 167.1, 166.5, 165.7, 166.72,
165.04, 162.28, 165.46, 168.04, 172.78,
170.23, 174.38, 180.12, 179.9, 183.63,
183.89, 188.7, 184.44, 184.71, 183.71,
185.35, 187.23, 187.28, 184.42, 178.59),
.Dim = c(66L, 3L),
.Dimnames = list(
NULL, c("AMZN", "AAPL", "MSFT")))
timestamp.P <- structure(
c(18215, 18218, 18219, 18220,
18221, 18222, 18225, 18226,
18227, 18229, 18232, 18233,
18234, 18235, 18236, 18239,
18240, 18241, 18242, 18243,
18246, 18247, 18248, 18249,
18250, 18253, 18254, 18256,
18257, 18260, 18261, 18263,
18264, 18267, 18268, 18269,
18270, 18271, 18274, 18275,
18276, 18277, 18278, 18282,
18283, 18284, 18285, 18288,
18289, 18290, 18291, 18292,
18295, 18296, 18297, 18298,
18299, 18302, 18303, 18304,
18305, 18306, 18310, 18311,
18312, 18313), class = "Date")
J <- journal()
for (asset in colnames(P)) {
amount <- sample(c(-20, -10, 10, 20), size = 5, replace = TRUE)
timestamp <- sample(timestamp.P, size = 5, replace = TRUE)
J <- c(J,
journal(amount = amount,
timestamp = timestamp,
price = P[match(timestamp, timestamp.P), asset],
instrument = asset))
}
J <- structure(list(timestamp = structure(
c(18257, 18302, 18291, 18260, 18276, 18271,
18284, 18232, 18246, 18304, 18227, 18254,
18312, 18232, 18267), class = "Date"),
amount = c(10, -10, -10, -10, 10, 10, 20,
10, -10, -10, 20, -20, 10, -10, 10),
price = c(1869.8, 2133.91, 1870.68, 1846.89,
1862.02, 310.33, 319.23, 264.16,
279.86, 327.2, 152.32, 157.38, 184.42,
149.55, 159.03),
instrument = c("AMZN", "AMZN", "AMZN", "AMZN",
"AMZN", "AAPL", "AAPL", "AAPL",
"AAPL", "AAPL", "MSFT", "MSFT",
"MSFT", "MSFT", "MSFT")),
class = "journal")
## J <- structure(list(timestamp = structure(c(18218, 18292, 18218, 18242,
## 18312, 18284, 18233, 18246, 18233, 18257, 18313, 18229, 18246,
## 18220, 18226, 18270, 18303, 18232, 18275, 18306, 18219, 18235,
## 18229, 18302, 18298, 18236, 18285, 18256, 18226, 18263), class = "Date"),
## amount = c(-10, 20, 10, 20, 20, 20, -10, -10, 20, -10, 20,
## 20, -20, -20, -10, 20, 20, -10, 20, -10, -10, -20, -20, -20,
## 20, -20, -10, 20, 10, -20), price = c(1752.53, 2008.72, 1752.53,
## 1760.33, 2153.1, 1884.58, 1769.96, 1769.21, 1769.96, 1869.8,
## 313.05, 267.25, 279.86, 263.19, 264.29, 309.63, 319.61, 264.16,
## 312.68, 324.95, 150.39, 149.93, 151.38, 188.7, 183.63, 151.75,
## 165.04, 158.67, 152.03, 160.62), instrument = c("AMZN", "AMZN",
## "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN", "AMZN",
## "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL",
## | timestamp | amount | price | instrument |
## |------------------+--------+---------+------------|
## | [2019-12-27 Fri] | 10 | 1869.8 | AMZN |
## | [2020-02-10 Mon] | -10 | 2133.91 | AMZN |
## | [2020-01-30 Thu] | -10 | 1870.68 | AMZN |
## | [2019-12-30 Mon] | -10 | 1846.89 | AMZN |
## | [2020-01-15 Wed] | 10 | 1862.02 | AMZN |
## | [2020-01-10 Fri] | 10 | 310.33 | AAPL |
## | [2020-01-23 Thu] | 20 | 319.23 | AAPL |
## | [2019-12-02 Mon] | 10 | 264.16 | AAPL |
## | [2019-12-16 Mon] | -10 | 279.86 | AAPL |
## | [2020-02-12 Wed] | -10 | 327.2 | AAPL |
## | [2019-11-27 Wed] | 20 | 152.32 | MSFT |
## | [2019-12-24 Tue] | -20 | 157.38 | MSFT |
## | [2020-02-20 Thu] | 10 | 184.42 | MSFT |
## | [2019-12-02 Mon] | -10 | 149.55 | MSFT |
## | [2020-01-06 Mon] | 10 | 159.03 | MSFT |
J
## instrument timestamp amount price
## 1 AMZN 2019-12-27 10 1869.80
## 2 AMZN 2020-02-10 -10 2133.91
## 3 AMZN 2020-01-30 -10 1870.68
## 4 AMZN 2019-12-30 -10 1846.89
## 5 AMZN 2020-01-15 10 1862.02
## 6 AAPL 2020-01-10 10 310.33
## 7 AAPL 2020-01-23 20 319.23
## 8 AAPL 2019-12-02 10 264.16
## 9 AAPL 2019-12-16 -10 279.86
## 10 AAPL 2020-02-12 -10 327.20
## 11 MSFT 2019-11-27 20 152.32
## 12 MSFT 2019-12-24 -20 157.38
## 13 MSFT 2020-02-20 10 184.42
## 14 MSFT 2019-12-02 -10 149.55
## 15 MSFT 2020-01-06 10 159.03
##
## 15 transactions
pl(J)
## AAPL
## P/L total NA
## average buy 303.2375
## average sell 303.53
## cum. volume 60
##
## AMZN
## P/L total NA
## average buy 1865.91
## average sell 1950.493
## cum. volume 50
##
## MSFT
## P/L total NA
## average buy 162.0225
## average sell 154.77
## cum. volume 70
##
## ‘P/L total’ is in units of instrument;
## ‘volume’ is sum of /absolute/ amounts.
## ‘sum(amount)’ is not zero for AAPL: specify ‘vprice’ to compute P/L.
## ‘sum(amount)’ is not zero for AMZN: specify ‘vprice’ to compute P/L.
## ‘sum(amount)’ is not zero for MSFT: specify ‘vprice’ to compute P/L.
position(J)
## 2020-02-20
## AAPL 20
## AMZN -10
## MSFT 10
pl(J, vprice = c(AMZN = 2020, MSFT = 178, AAPL = 311))
## str(timestamp.P)
## Date[1:66], format: "2019-11-15" "2019-11-18" ...
## str(P)
## num [1:66, 1:3] 1739 1753 1753 1746 1735 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:3] "AMZN" "AAPL" "MSFT"
PL <- pl(J, vprice = P, along.timestamp = timestamp.P)
PL <- sapply(PL, `[[`, "pl")
tail(PL, 5)
## AAPL AMZN MSFT
## 2020-02-14 440.1 -152.1 6.4
## 2020-02-18 321.1 -360.1 6.4
## 2020-02-19 413.5 -505.6 6.4
## 2020-02-20 347.1 -334.4 6.4
## 2020-02-21 202.1 236.9 -51.9
ii <- c(1, datetimeutils::nth_day(timestamp.P, ## extract position of last day of month
period = "month", n = "last",
index = TRUE))
diff(PL[ii, ])
## AAPL AMZN MSFT
## 2019-11-29 0.0 0.0 -18.8
## 2019-12-31 157.0 -229.1 38.5
## 2020-01-31 -202.6 86.6 -13.3
## 2020-02-21 247.7 379.4 -58.3
ii <- J$instrument == "AMZN"
J$price[ii] <- P[match(J["AMZN"]$timestamp, timestamp.P), "AMZN"]
##
expect_equal(pl(amount = c(1,-1),
price = c(1,2))[[1]][["pl"]], 1)
expect_equal(pl(amount = c(1,-1), price = c(1,2)),
structure(list(structure(list(pl = 1,
realised = NA,
unrealised = NA,
buy = 1,
sell = 2,
volume = 2),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE, instrument = NA))
ans <- pl(amount = 1, price = 1,
initial.position = 1, initial.price = 1,
vprice = 2)
attr(ans, "footnotes") <- NULL
expect_equal(ans,
structure(list(structure(list(pl = 2,
realised = NA,
unrealised = NA,
buy = 1,
sell = 2,
volume = 1),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE, instrument = NA))
x <- pl(amount = c(1,-1, 20,-20),
price = c(100,102, 4,7),
instrument = c("Equity A", "Equity A", "Equity B", "Equity B"))
expect_equal(x,
structure(list(`Equity A` = structure(list(pl = 2,
realised = NA,
unrealised = NA,
buy = 100, sell = 102,
volume = 2),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume")),
`Equity B` = structure(list(pl = 60,
realised = NA,
unrealised = NA,
buy = 4, sell = 7,
volume = 40),
.Names = c("pl",
"realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl", along.timestamp = FALSE,
instrument = c("Equity A",
"Equity B"),
.Names = c("Equity A", "Equity B")))
## pl(pl(...))
expect_equal(pl(x),
structure(c(2, 60), .Names = c("Equity A", "Equity B")))
expect_equal(as.data.frame(x),
structure(list(pl = c(2, 60),
buy = c(100, 4),
sell = c(102, 7),
volume = c(2, 40)),
.Names = c("pl", "buy",
"sell", "volume"),
row.names = c("Equity A", "Equity B"),
class = "data.frame"))
## open positions and no vprice specified => pl is NA
timestamp <- 1:4
amount <- c(1,1,1,1)
price <- 101:104
instrument <- "Bond"
jnl <- journal(timestamp=timestamp, amount=amount,
price=price, instrument=instrument)
expect_true(is.na(suppressWarnings(pl(jnl)[[1]][["pl"]])))
## initial position
tmp <- pl(journal(),
initial.position = 1,
initial.price = 100,
vprice = 105)
expect_equal(tmp[[1]][["pl"]], 5)
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100),
vprice = c(A = 105, B = 110))
expect_equal(tmp[[1]][["pl"]],5)
expect_true(is.na(tmp[[2]][["pl"]]))
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(),
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(B = 110, A = 105))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(), multiplier = 2,
initial.position = c(A = 1, B = 2),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=10,B=40))
## initial position can be a 'position'
tmp <- pl(journal(),
initial.position = position(amount = c(1,2),
instrument = c("A", "B")),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
tmp <- pl(journal(),
initial.position = position(amount = c(2,1),
instrument = c("B", "A")),
initial.price = c(A = 100, B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=5,B=20))
## initial position can be a 'journal'
tmp <- pl(journal(),
multiplier = c(A = 2,
B = 4),
initial.position = journal(amount = c(2,1),
instrument = c("B", "A")),
initial.price = c(A = 100,
B = 100),
vprice = c(A = 105, B = 110))
expect_equal(unlist(lapply(tmp, `[[`, "pl")), c(A=10,B=80))
## amount <- c(1,1,-1,1,-1)
## price <- c(100,99,101,100,101)
## pl(amount, price, along.timestamp = TRUE)
## amount <- c(1,-2,1)
## price <- c(100,101,100)
## pl(amount, price)
## pl(amount, price, along.timestamp = TRUE)
## tmp <- splitTrades(amount, price, timestamp = seq_along(amount),
## aggregate = TRUE)
## J <- journal(timestamp = c(1, 2, 3),
## amount = c(1, 1, -2),
## price = c(100,102, 101))
## pl(c(1, 1, -2), c(100,102, 101))
## pl(amount = 1, price = 1, vprice = 2)
## pl(amount = 1, price = 2, initial.position = 1,
## initial.price = 1, vprice = 3)
## amount <- c(1,1,-1,1,-2)
## price <- c(100,102,105,102,105)
## cumcash <- cumsum(-price * amount)
## cumpos <- cumsum(amount)
## pnl <- cumpos * price + cumcash
## multiplier
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 0)[[1L]][["pl"]], 0)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 1)[[1L]][["pl"]], 1)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2))[[1L]][["pl"]], 1)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
multiplier = 2)[[1]][["pl"]], 2)
expect_equal(pl(amount = c(1, -1),
price = c(1, 2),
instrument = c("B", "B"),
multiplier = c(A = 1, B = 2))[[1L]][["pl"]], 2)
## along.timestamp: user-specified: open trade
j <- journal(amount = 1,
timestamp = 2.5,
price = 102)
res <- pl(j, along.timestamp = 1:10,
vprice = 101:110)
expect_equal(res[[1]]$timestamp, 1:10)
### .... total pnl
expect_equivalent(res[[1]]$pl,
c(0, 0, 1, 2, 3, 4, 5, 6, 7, 8))
### .... and split pnl
expect_equivalent(res[[1]]$pl[-(1:2)], 1:8)
expect_equivalent(res[[1]]$unrealised[-(1:2)], 1:8)
expect_true(all(res[[1]]$realised[-(1:2)] == 0))
### .... pnl before trades should be either 0 or NA
expect_true(all(is.na(res[[1]]$pl[(1:2)]) | res[[1]]$pl[(1:2)]==0L))
expect_true(all(is.na(res[[1]]$realised) | res[[1]]$realised==0))
## along.timestamp: user-specified: closed trade
j <- journal(amount = c(1,-1),
timestamp = c(2.5,9),
price = c(102, 109))
res <- pl(j, along.timestamp = 1:10,
vprice = 101:110)
expect_equal(res[[1]]$timestamp, 1:10)
### .... total pnl
expect_equivalent(res[[1]]$pl,
c(0, 0, 1, 2, 3, 4, 5, 6, 7, 7))
### .... and split pnl
expect_equivalent(res[[1]]$pl[-(1:2)], c(1:7,7))
expect_equivalent(res[[1]]$unrealised[-(1:2)],
c(1, 2, 3, 4, 5, 6, 0, 0))
expect_equivalent(res[[1]]$realised[-(1:2)],
c(0, 0, 0, 0, 0, 0, 7, 7))
### .... pnl before trades should be either 0 or NA
expect_true(all(is.na(res[[1]]$pl[(1:2)]) | res[[1]]$pl[(1:2)]==0L))
## along.timestamp
j <- journal(amount = c(1,-1),
timestamp = c(1,2.5),
price = c(100,101))
pl(j, along.timestamp = TRUE)
expect_equivalent(pl(j, along.timestamp = TRUE)[[1]]$pl,
0:1)
### ... journal timestamp
expect_equal(pl(j, along.timestamp = TRUE)[[1]]$timestamp,
c(1,2.5))
tmp <- pl(amount = 1, timestamp = 0, price = 100,
vprice = 101:110, along.timestamp = 1:10)
expect_equivalent(tmp[[1]]$pl, 1:10)
### ... custom timestamp
expect_equal(tmp[[1]]$timestamp, 1:10)
## should work since vprice is timestamp-agnostic:
## it just computes the current PL, no matter the
## time
res <- pl(journal(),
initial.position = 1, initial.price = 100,
vprice = 101)
expect_equal(pl(res), 1)
expect_equal(res[[1]]$buy, 100)
expect_equal(res[[1]]$sell, 101)
expect_equal(res[[1]]$volume, 0)
## should *not* work since the initial price has no
## timestamp, but for vprice the timestamps are
## specified
expect_error(
pl(journal(),
initial.position = 1, initial.price = 1,
vprice = 101:110, along.timestamp = 1:10))
res <- pl(journal(amount = 1,
price = 2.5,
timestamp = 3),
along.timestamp = 1:10,
vprice = 1:10)
expect_equal(res[[1]]$timestamp, 1:10)
expect_equivalent(res[[1]]$unrealised[10], 7.5)
expect_equivalent(res[[1]]$realised[10], 0.0)
res <- pl(journal(amount = 1:2,
price = 1:2,
timestamp = 3),
along.timestamp = 1:10,
vprice = 1:10)
expect_equal(res[[1]]$volume,
c(0, 0, 3, 3, 3, 3, 3, 3, 3, 3))
expect_equivalent(res[[1]]$unrealised[3], 4)
expect_equivalent(res[[1]]$unrealised[4], 7)
## unsorted timestamp: gets sorted
jnl <- journal(price = c( 90, 50, 100),
amount = c( 1, 1, -2),
timestamp = 3:1)
expect_equal(pl(jnl, along.timestamp = TRUE)[[1]]$timestamp, 1:3)
## implicit timestamp
jnl <- journal(price = c( 90, 50, 100),
amount = c( 1, 1, -2))
expect_equal(pl(jnl, along.timestamp = TRUE)[[1]]$timestamp, 1:3)
## data.frame method
D <- data.frame(price = c(100,102),
amount = c(1,-1))
J <- journal(price = c(100,102),
amount = c(1,-1))
expect_equal(pl(D), pl(J))
## empty journal: pl/volume should be zero
expect_equal(pl(journal()),
structure(list(
structure(list(pl = 0,
realised = NA,
unrealised = NA,
buy = NaN,
sell = NaN,
volume = 0),
.Names = c("pl", "realised", "unrealised",
"buy", "sell", "volume"))),
class = "pl",
along.timestamp = FALSE,
instrument = NA))
## https://quant.stackexchange.com/questions/36505/calculate-day-to-day-change-in-value-of-open-position
j <- journal(amount = c(100, -100),
price = c(7418.04, 7433.29),
timestamp = as.POSIXct(c("20070829 1400",
"20070829 1724"),
format = "%Y%m%d %H%M"))
expect_equal(pl(j)[[1]]$pl, 1525)
expect_equal(pl(j),
structure(list(structure(
list(pl = 1525,
realised = NA,
unrealised = NA,
buy = 7418.04,
sell = 7433.29,
volume = 200),
.Names = c("pl", "realised",
"unrealised",
"buy", "sell",
"volume"))),
class = "pl",
along.timestamp = FALSE,
instrument = NA))
timestamp <- as.POSIXct(
c("20070829 0900", "20070829 1000", "20070829 1100",
"20070829 1200", "20070829 1300", "20070829 1400",
"20070829 1500", "20070829 1600", "20070829 1724",
"20070830 0900", "20070830 1000", "20070830 1100",
"20070830 1200", "20070830 1300", "20070830 1400",
"20070830 1500", "20070830 1600", "20070830 1724",
"20070831 0900", "20070831 1000"),
format = "%Y%m%d %H%M")
close <- c(7372.1 , 7372.16, 7428.72, 7418.13, 7422.03,
7418.04, 7426.8 , 7414.65, 7433.29, 7478.72,
7464.2 , 7475.08, 7456.95, 7429.93, 7444.99,
7420.8 , 7479.4 , 7487.42, 7554.82, 7552.3)
expect_equal(pl(j, along.timestamp = timestamp, vprice = close)[[1]]$pl,
structure(c(0, 0, 0, 0, 0, 0, 876, -339, 1525, 1525, 1525, 1525,
1525, 1525, 1525, 1525, 1525, 1525, 1525, 1525),
.Names = c("2007-08-29 09:00:00",
"2007-08-29 10:00:00",
"2007-08-29 11:00:00",
"2007-08-29 12:00:00",
"2007-08-29 13:00:00",
"2007-08-29 14:00:00",
"2007-08-29 15:00:00",
"2007-08-29 16:00:00",
"2007-08-29 17:24:00",
"2007-08-30 09:00:00",
"2007-08-30 10:00:00",
"2007-08-30 11:00:00",
"2007-08-30 12:00:00",
"2007-08-30 13:00:00",
"2007-08-30 14:00:00",
"2007-08-30 15:00:00",
"2007-08-30 16:00:00",
"2007-08-30 17:24:00",
"2007-08-31 09:00:00",
"2007-08-31 10:00:00")))
## --------------------------------
## custom 'along.timestamp' for a single timestamp
J <- journal(amount = c(1),
price = c(100),
timestamp = c(1))
ans <- pl(J, along.timestamp = 1, vprice = 101)
expect_equivalent(ans[[1]]$pl, 1)
J <- journal(amount = c(1, -1),
price = c(100, 105),
timestamp = c(1,1))
ans <- pl(J, along.timestamp = 1, vprice = 105)
expect_equivalent(ans[[1]]$pl, 5)
J <- journal(amount = c(1, -1),
price = c(100, 105),
timestamp = c(1,1))
ans <- pl(J, along.timestamp = 1, vprice = 999)
expect_equivalent(ans[[1]]$pl, 5)
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.