R/q_return_stats_two.R

In zac-garland/equityresearch: Equity Research in R

q_return_stats_two <- function(ticker,benchmark){

  # Returns Data -----------------------------------
  ticker_return <- q_return(ticker,
                            start_date = Sys.Date() - years(2),
                            frequency = "monthly")



  bench_return <- q_return(benchmark,
                           start_date = Sys.Date() - years(2),
                           frequency = "monthly") %>%
    select(date,bench_return = monthly_return)




  combined_returns <- left_join(ticker_return, bench_return, by = c("date" = "date"))




  downside_risk <- ticker_return %>%
    tq_performance(Ra = monthly_return,
                   performance_fun = table.DownsideRisk) %>%
    gather(key,value) %>%
    left_join(performance_labels, by = "key") %>%
    select(label,value) %>%
    mutate(value = round(value,2)) %>%
    arrange(label)

  drawdowns_ratio <- ticker_return %>%
    tq_performance(Ra = monthly_return,
                   performance_fun = table.DrawdownsRatio) %>%
    gather(key,value) %>%
    left_join(performance_labels, by = "key") %>%
    select(label,value) %>%
    mutate(value = round(value,2)) %>%
    arrange(label)


  x <- bind_rows(downside_risk,
                 drawdowns_ratio) %>%
    kable() %>%
    group_rows(index = c("Downside Risk" = 11,
                         "Drawdown Ratios" = 7))


  gsub("<thead>.*</thead>", "", x)

}