table.Performance: Generate general performance table for returns

In kecoli/PAenhance: Enhancement of PerformanceAnalytics developed by Kirk Li and Douglass Martin

Description

Main function to produce summary table. user can choose a set of metrics and corresponding optional arguments, modify metricsnames in output table, all together in data editor window from R console. For example, to include SharpeRatio, inside the data editor window, locate the row with SharpeRatio, and change "include" column from 0 to 1 to include the metric, and then change its optional arguments on the right that not with "#" sign. "#" sign simply means the argument (column index) is not defined for this metric (row index).

Usage

table.Performance(R, metrics = NULL, metricsNames = NULL, verbose = FALSE,
  interactive = TRUE, arg.list = NULL, digits = 4, latex = FALSE,
  exportFun = NULL, exportXLS = FALSE,
  ExcelFileName = "PerformanceReport.XLSX", flag.pre.arg.list = FALSE, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
metrics	a character vector of input metrics, use table.Performance.pool() to see all the condicate metrics
metricsNames	options argument to specify metricsNames, default is NULL, the same as the metrics
interactive	logical, default is TRUE, optional argument to trigger data editor window
arg.list	optional argument to specify input optional argument for each metric, uses only interactive=FALSE
digits	optional argument to specify the significant digits in printed table, default is 4
latex	logical, default is FALSE, optional argument to output latex code
exportFun	logical, default is NULL, optional argument to export function, see details
exportXLS	logical, default is FALSE, optional argument to export resulting table to excel file
ExcelFileName	The name of the Excel file to be created, default is "PerformanceReport.XLSX"

Details

use table.Performance.pool to check available metrics. recoded SharpeRatio. Both interactive and fixed input on metric set and optional arguments. Output latex code for resulting table. Export function that uses the same metrics and optional argument from interactive input.

Author(s)

Kirk Li [e-mail]

See Also

table.Performance.pool,table.Performance.pool.cran,table.Arbitrary

Examples

library(PerformanceAnalytics,lib="C:/R/R-3.1.0/library_forge")
data(edhec)

# Example 1: start with NULL specification
res <- table.Performance(R=edhec,verbose=T, interactive=TRUE)

# Example 2: start with Var and ES
res.ex2 <- table.Performance(edhec,metrics=c("VaR", "ES"),
metricsNames=c("Modified VaR","Modified Expected Shortfall"),verbose=T)

# Example 3: Non-interactive
arg.list <- list(
		ES=list(method=c("modified","test"),
				p=0.9),
		VaR=list(method=c("gaussian"))
)
res.ex3 <- table.Performance(R=edhec,metrics=c("VaR", "ES"), interactive=FALSE,
 arg.list=arg.list, verbose=T, digits=4)

# Example 4: Latex code
arg.list <- list(
		ES=list(method=c("modified"),
				p=0.9),
		VaR=list(method=c("gaussian"))
)
res.ex4 <- table.Performance(R=edhec,metrics=c("VaR", "ES"), interactive=FALSE,
arg.list=arg.list, verbose=T, digits=4, latex=TRUE)

# Example 5: Export function
res.ex5 <- table.Performance(R=edhec,metrics=c("VaR", "ES"), interactive=TRUE, verbose=T,
digits=4, latex=FALSE, exportFun="myfun1", flag.pre.arg.list=FALSE)
myfun1(R=edhec)
# myfun1 uses res.ex5's metrics and optional arguments
args(myfun1)

kecoli/PAenhance documentation built on May 20, 2019, 8:34 a.m.