perfstats: Compute performance statistics on equity curves

In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).

Description

Returns a dataframe containing performance stats on one or multiple equity curves. May also plot it on the graphic device.

Usage

perfstats(data, on = "days", plotout = TRUE, value = TRUE,
  percent = TRUE, digits = 2, top = 2,
  main = "Performance Summary", scaling = "auto",
  title_size = "auto", ulcerthresh = 0, drawdown_dates = FALSE, ...)

Arguments

data	An xts matrix of equity curves, each column being one equity curve.
on	The periodicity (scale) of the xts data matrix to compute the stats. "days", "weeks", "months", "quarters" and "years" are valid and correspond to the following scales for table.AnnualizedReturns respectively: 252, 52.18, 12, 4 or 1.
plotout	Logical. Indicates whether to plot the result on the graphic console. using function plot_df. Default is TRUE.
value	Logical (default TRUE) to indicate whether a dataframe is returned
percent	Logical to indicate whether to multiple by 100 to get percentages (default TRUE).
digits	Number of digits to show on the screen / file and returned dataframe.
top	The number of drawdowns to calculate, starting from the maximum drawdown.
main	The title of the table to plot on the graphic console. Default is "Performance Summary".
scaling	Table scaling factor to plot on the graphic console. Default is "auto", which automatically calculates a reasonable value based on the number of columns in the xts data matrix.
title_size	Title scaling factor passed on to plot_df. Default is "auto", which calculates a reasonable value based on the number of coumns in the xts data matrix.
ulcerthresh	The drawdown minimum threshold used in the Ulcer Performance Index calculation for each period's return to be considered in the calculation. In other words, drawdowns smaller than this number do not count. Default is zero and it may be expressed as either a positive or negative number.
drawdown_dates	Logical. IF TRUE, return a list containing two dataframes. The first is a dataframe of all performance statistics, and the second is a dataframe of drawdown dates (Start, End, Trough) Default is FALSE, which means only the dataframe of performance statistics is returned.
...	Additional arguments passed on to plot_df. For example, the title text and size, and footnote size may be modified using this.

Value

Either a list of two dataframes (drawdown_dates is TRUE) or a single dataframe (drawdown_dates is FALSE) that shows the summary performance of the equity curves. The annualized return, the maximum drawdown and, by default the second and third drawdowns, the annualized standard deviation, the annualized Sharpe ratio (rf = 0 the MAR ratio, the ulcer index and the percentage of positive rolling years. See parameter drawdown_dates for the specification of the list.

jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.