dailyTxnPL: generate daily Transaction Realized or Equity Curve P&L by...

In naturalsmen/blotter: Tools for Transaction-Oriented Trading Systems Development

Description

designed to collate information for high frequency portfolios

Usage

dailyTxnPL(Portfolios, Symbols, drop.time = TRUE, incl.total = FALSE)

dailyEqPL(Portfolios, Symbols, drop.time = TRUE, incl.total = FALSE)

Arguments

Portfolios	portfolio string
Symbols	character vector of symbol strings
drop.time	remove time component of POSIX datestamp (if any), default TRUE
incl.total	if TRUE, add a column with the daily portfolio total P&L, default FALSE

Details

If you do not pass Symbols, then all symbols in the provided Portfolios will be used.

The daily P&L is calculated from Net.Txn.Realized.PL if by dailyTxnPL and from Net.Trading.PL by dailyEqPL

Value

a multi-column xts time series, one column per symbol, one row per day

Author(s)

Brian G. Peterson

See Also

tradeStats

naturalsmen/blotter documentation built on May 23, 2019, 12:21 p.m.