calc_pnl: Calculate cumulative pnl, mean pnl, dollar sharpe ratio
In knightsay/backtestGraphics: Interactive Graphics for Portfolio Data
calc_pnl R Documentation
Calculate cumulative pnl, mean pnl, dollar sharpe ratio
Description
This function takes in a data frame and calculates the cumulative P&L, daily
P&L, annualized P&L, P&L volatility and dollar sharpe ratio as well as three
biggest drawdowns. There are also average daily return rate and the standard
deviation of daily return rates.
Usage
calc_pnl(x, trade.freq = 7)
Arguments
x
A data frame that contains data for individual commodities.
trade.freq
The trading frequency of the portfolio, numeric
Value
a list ith cumulative pnl, mean pnl, annualized volatility of pnl,
dollar sharpe ratio and drawdown
knightsay/backtestGraphics documentation built on Jan. 27, 2025, 10:35 a.m.
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| calc_pnl | R Documentation |
Calculate cumulative pnl, mean pnl, dollar sharpe ratio
Description
This function takes in a data frame and calculates the cumulative P&L, daily P&L, annualized P&L, P&L volatility and dollar sharpe ratio as well as three biggest drawdowns. There are also average daily return rate and the standard deviation of daily return rates.
Usage
calc_pnl(x, trade.freq = 7)
Arguments
x |
A data frame that contains data for individual commodities. |
trade.freq |
The trading frequency of the portfolio, numeric |
Value
a list ith cumulative pnl, mean pnl, annualized volatility of pnl, dollar sharpe ratio and drawdown
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.
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