performance: Get Strategy Performance

In quants-ch/Strategy: Generic Framework to Analyze Trading Strategies

Description

Gets the performance of an object of class Strategy.

Usage

performance(object, of = "portfolio", type = "performance", from = NULL,
  until = NULL, which = NULL, use.backtest = FALSE,
  include.costs = TRUE)

## S4 method for signature 'Strategy'
performance(object, of = c("portfolio", "assets"),
  type = c("performance", "logReturns", "returns"), from = NULL,
  until = NULL, which = NULL, use.backtest = FALSE,
  include.costs = TRUE)

Arguments

object	An object of class Strategy.
of	Performance to be extracted from assets separately or the portfolio performance.
type	Which type of performance shall be returned. performance is the cumulative performance starting at 1, logReturns to get logarithmic returns or returns for arithmetic returns.
from	The date in character format "yyyy-MM-dd" or as date-object from which performance shall be returned If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which performance shall be returned. If NULL, no restriction is made.
which	Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly.
use.backtest	If TRUE, the signals from the backtesting output are considered for performance calculation. If FALSE, the signals from the initial strategy execution are used.
include.costs	If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.

Examples

## Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get performance of MA(200)-Strategy
performance(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest performance of MA(200)-Strategy
# performance(myStrat.MA, from="2015-01-01", until="2015-12-31"
# , use.backtest=TRUE, type="logReturns")

## End(Not run)

quants-ch/Strategy documentation built on May 26, 2019, 4:37 p.m.