model_update_rm_3roc: Computes out-of-sample performance for the 3ROC models. Run...

In greatgray/scorecard: GGCM Model Performance Scorecard

Description

Computes out-of-sample performance for the 3ROC models. Run and report update for fixed model configuration. Uses model configuration passed in by way of scorecard row attributes.

Usage

model_update_rm_3roc(scorecard_row)

Arguments

scorecard_row

a row of the scorecard definition identifying the model configuration and other attributes

Value

the same scorecard row object, but with a new list element oos appended. The oos element contains a list of 3ROC model OOS performance results, including theoretical returns (r), cumulative return (c), compound annual growth rate of returns (cagr), Calmar ratio (calmar), Sortino ratio (sortino), maximum drawdown percent (mdd), a time history of 3ROC rankings as a plot (rank_p), and a list of plots (plots).

See Also

model_update_rso20_roc

greatgray/scorecard documentation built on May 17, 2019, 8:34 a.m.