performance: Most common performance metrics

In martinbel/TradingTools: Trading/Investing Tools

Description

Most common performance metrics

Usage

performance(
  ret_mat,
  date_range = NULL,
  tickers = NULL,
  combine = NULL,
  index = "QQQ",
  plot = TRUE,
  print_cor = FALSE,
  print_tbl = FALSE
)

Arguments

ret_mat	The daily returns matrix
date_range	A string with an xts style date-range to filter data
tickers	Character vector with tickers that will be part of the result
combine	Character vector of tickers to combine in an equal weight portfolio. Results are summarized as Portfolio
index	Benchmark index to compute CAPM Beta and Alpha
plot	Plot the cumulative return of all assets
print_cor	Print the correlation matrix of the assets defined in ticker
print_tbl	Prints the summary performance table

martinbel/TradingTools documentation built on June 13, 2021, 4:21 a.m.