calmar_ratio: Calmar ratio
In maxto/qapi: Low-level functions for quantitative analysis
calmar_ratio R Documentation
Calmar ratio
Description
A risk-adjusted measure like Sharpe ratio that uses maximum drawdown instead of standard deviation for risk
Usage
calmar_ratio(x, ann_frisk = 0, t = 252, is_geom = TRUE)
Arguments
x
asset returns
ann_frisk
annual free risk value
t
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
is_geom
TRUE geometric, FALSE simple
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
calmar_ratio(xx,ann_frisk = 0.01,t=12)
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| calmar_ratio | R Documentation |
Calmar ratio
Description
A risk-adjusted measure like Sharpe ratio that uses maximum drawdown instead of standard deviation for risk
Usage
calmar_ratio(x, ann_frisk = 0, t = 252, is_geom = TRUE)
Arguments
x |
asset returns |
ann_frisk |
annual free risk value |
t |
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily |
is_geom |
TRUE geometric, FALSE simple |
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
calmar_ratio(xx,ann_frisk = 0.01,t=12)
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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