Functions for analyzing historical performance of stocks or other investments. Calculate maximum draw-down, Sharpe ratio, Sortino ratio, risk return ratio, alpha and beta from the capital assets pricing model (CAPM), and other commonly used metrics of stock performance. C++ used where possible to improve processing speed.
|Author||Dane R. Van Domelen|
|Date of publication||2016-01-11 18:25:23|
|Maintainer||Dane R. Van Domelen <firstname.lastname@example.org>|
balances: Calculate Balances Based on Initial Balance and Vector of...
balances_weighted: Calculate Balances of a Weighted Portfolio of Various Funds
beta_trailing50: Beta for Last 50 Daily Gains
capm_daily: Calculate Capital Assets Pricing Model (CAPM) Metrics Based...
convert_rate: Convert Gain from One Time Interval to Another
daily_yearly: Convert Daily Gain to X-year Gain
diffs: Lagged Differences (Alternate Implementation)
final_balance: Calculate Final Balance Based on Initial Balance and Vector...
gains_rate: Calculate Growth Rate From a Vector of Stock or Investment...
historical_performance: Analyze Historical Performance of Individual Funds or a...
mdd: Maximum Drawdown
monthly_gains: Calculate Monthly Gains for One or More Tickers
neg: Return Negative Elements of a Numeric Vector
nonneg: Return Non-Negative Elements of a Numeric Vector
nonpos: Return Non-Positive Elements of a Numeric Vector
pchanges: Lagged Proportion/Percent Changes
pdiffs: Lagged Proportion/Percent Differences
pos: Return Positive Elements of a Numeric Vector
prices_rate: Calculate Growth Rate From a Vector of Stock Prices or...
ratios: Ratios of Subsequent Elements in a Numeric Vector
rrr: Risk-Return Ratio
sharpe_ratio: Sharpe Ratio
sortino_ratio: Sortino Ratio
stocks-package: Fast Functions for Stock Market Analysis
ticker_dates: Get Yahoo! Finance Start/End Dates for One or More Tickers
twofund_portfolio: Analyze Historical Performance of Two-Fund Portfolio as a...
vanguard_etfs: List of Vanguard ETFs and their inception dates, current as...
yearly_daily: Convert X-year Gain to Average Daily Gain
yearly_gains: Calculate Yearly Gains for One or More Tickers
zzz: Daily Closing Prices for Imaginary Stock ZZZ Over 10 Years