# calculate statistics on transactions and P&L for a symbol or symbols in a portfolio or portfolios

### Description

This function calculates trade-level statistics on a symbol or symbols within a portfolio or portfolios.

### Usage

1 2 3 4 | ```
tradeStats(Portfolios, Symbols, use = c("txns", "trades"),
tradeDef = "flat.to.flat", inclZeroDays = FALSE)
dailyStats(Portfolios, use = c("equity", "txns"))
``` |

### Arguments

`Portfolios` |
portfolio string |

`Symbols` |
character vector of symbol strings, default NULL |

`use` |
for determines whether numbers are calculated from transactions or round-trip trades (for tradeStats) or equity curve (for dailyStats) |

`tradeDef` |
string to determine which definition of 'trade' to use. Currently "flat.to.flat" (the default) and "flat.to.reduced" are implemented. |

`inclZeroDays` |
TRUE/FALSE, whether to include zero P&L days in daily calcs, default FALSE for backwards compatibility. |

### Details

Every book on trading, broker report on an analytical trading system, or blog post seems to have a slightly different idea of what trade statistics are necessary, and how they should be displayed. We choose not to make value judgments of this type, aiming rather for inclusiveness with post-processing for display.

The output of this function is a `data.frame`

with named columns for each statistic.
Each row is a single portfolio+symbol combination. Values are returned in full precision.
It is likely that the output of this function will have more than you wish
to display in all conditions, but it should be suitable for reshaping for display.
Building summary reports from this data.frame may be easily accomplished using
something like `textplot`

or `data.frame`

, with rounding,
fancy formatting, etc. as your needs dictate.

Option `inclZeroDays`

, if `TRUE`

, will include all transaction P&L,
including for days in which the strategy was not in the market,
for daily statistics.
This can prevent irrationally good looking daily statistics for strategies
which spend a fair amount of time out of the market. For strategies which
are always in the market, the statistics should be (nearly) the same.
Default is `FALSE`

for backwards compatibility.

If you have additional trade statistics you want added here, please share. We find it unlikely that any transaction-level statistics that can be calculated independently of strategy rules could be considered proprietary.

Special Thanks for contributions to this function from:

- Josh Ulrich
for adding multiple-portfolio support, fixing bugs, and improving readability of the code

- Klemen Koselj
for median stats, num trades, and win/loss ratios

- Mark Knecht
for suggesting Profit Factor and largest winner/largest loser

WARNING: we're not sure this function is stable/complete yet. If you're using it, please give us feedback!

### Value

a `data.frame`

containing:

- Portfolio
name of the portfolio

- Symbol
symbol name

- Num.Txns
number of transactions produced by

`addTxn`

- Num.Trades
number of

*flat to flat*trades performed- Net.Trading.PL
- Avg.Trade.PL
mean trading P&L per trade

- Med.Trade.PL
median trading P&L per trade

- Largest.Winner
largest winning trade

- Largest.Loser
largest losing trade

- Gross.Profits
gross (pre-fee) trade profits

- Gross.Losses
gross trade losses

- Std.Dev.Trade.PL
standard deviation of trade P&L

- Percent.Positive
percent of trades that end positive

- Percent.Negative
percent of trades that end negative

- Profit.Factor
absolute value ratio of gross profits over gross losses

- Avg.Win.Trade
mean P&L of profitable trades

- Med.Win.Trade
median P&L of profitable trades

- Avg.Losing.Trade
mean P&L of losing trades

- Med.Losing.Trade
median P&L of losing trades

- Avg.Daily.PL
mean daily realized P&L on days there were transactions, see

`dailyStats`

for all days- Med.Daily.PL
median daily P&L

- Std.Dev.Daily.PL
standard deviation of daily P&L

- Ann.Sharpe
annualized Sharpe-like ratio, assuming no outside capital additions and 252 day count convention

- Max.Drawdown
max drawdown

- Avg.WinLoss.Ratio
ratio of mean winning over mean losing trade

- Med.WinLoss.Ratio
ratio of median winning trade over median losing trade

- Max.Equity
maximum account equity

- Min.Equity
minimum account equity

### Note

TODO document each statistic included in this function, with equations

TODO add more stats, potentially PerformanceAnalytics: skewness, kurtosis, upside/downside semidieviation, Sortino

mean absolute deviation stats

more Tharpe/Kestner/Tradestation stats, e.g. K-factor RINA Index Percent time in the market Buy and hold return

Josh has suggested adding %-return based stats too

### Author(s)

Lance Levenson, Brian Peterson

### See Also

`chart.ME`

for a chart of MAE and MFE derived from trades,
and `perTradeStats`

for detailed statistics on a per-trade basis