print.OLP: Print OLP objects

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

print method for objects of the class "OLP"

Usage

## S3 method for class 'OLP'
print(x, ...)

Arguments

x	an object of class OLP
...	additional arguments

Value

The function returns a short summary of the OLP object containing

Algorithm	Name of the portfolio algorithm
Assets	names of the assets in the portfolio
weights	portfolio weights; only shown if weights remain constant during trading horizon
Terminal Wealth	final cumulative wealth achieved by the algorithm
mu	exponential growth rate (average wealth change without compounding effect)
sigma	standard deviation of the exponential growth rate
APY	annual percantage yield (annualization of mu, 252 trading days)
ASTDV	annualized standard deviation of the exponential growth rate (252 trading days)
SR	Sharpe ratio (risk free asset return = 0)
CR	Calmar ratio

Examples

#load data
data(NYSE)
# select stocks
returns = cbind(comme=NYSE$comme, kinar=NYSE$kinar)
weights = c(0.5, 0.5)

#calc_CRP
CRP = alg_CRP(returns, weights)
print(CRP)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.