Description Usage Arguments Details Author(s) References See Also
View source: R/perTradeStats.R
The quantiles of your trade statistics get to the heart of quantitatively setting rational stops and possibly even profit taking targets for a trading strategy or system. When applied to theoretical trades from a backtest, they may help to adjust parameters prior to trying the strategy with real money. When applied to real historical trades, they should help in examining what is working and where there is room for improvement in a trading system or strategy.
1 2 | tradeQuantiles(Portfolio, Symbol, ..., scale = c("cash", "percent", "tick"),
probs = c(0.5, 0.75, 0.9, 0.95, 0.99, 1))
|
Portfolio |
string identifying the portfolio |
Symbol |
string identifying the symbol to examin
trades for. If missing, the first symbol found in the
|
... |
any other passthrough parameters |
scale |
string specifying 'cash', or 'percent' for percentage of investment, or 'tick' |
probs |
vector of probabilities for |
This function will use the quantile
function
to calculate quantiles of per-trade net P&L, MAE, and MFE
using the output from perTradeStats
. These
quantiles are chosen by the probs
parameter and will
be calculated for one or all of 'cash','percent',or 'tick',
controlled by the scale
argument. Quantiles will be
calculated separately for trades that end positive (gains)
and trades that end negative (losses), and will be denoted
'pos' and 'neg',respectively.
Additionally, this function will return the MAE with
respect to the maximum cumulative P&L achieved for each
scale
you request. Tomasini&Jaekle recommend
plotting MAE or MFE with respect to cumulative P&L and
choosing a stop or profit target in the 'stable region'.
The reported max should help the user to locate the stable
region, perhaps mechanically. There is room for improvement
here, but this should give the user information to work
with in addition to the raw quantiles. For example, it may
make more sense to use the max of a loess or kernel or
other non-linear fit as the target point.
Brian G. Peterson
Tomasini, E. and Jaekle, U. Trading Systems - A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
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