BenchmarkAnalysis {fMultivar} | R Documentation |
A collection and description of utility
and benchmark functions for the analysis
of financial markets. The collection
provides a set of functions for the
computation of returns, for the display
of price charts, and for benchmark measurements.
The functions are:
getReturns | Computes returns given a price series, |
ohlcPlot | Plots open–high–low–close bar charts, |
sharpeRatio | Computes Sharpe Ratio, |
sterlingRatio | Computes Sterling Ratio, |
maxDrawDown | Computes maximum drawdown. |
getReturns(x, type = c("continuous", "discrete"), percentage = FALSE, trim = TRUE) ohlcPlot(x, xlim = NULL, ylim = NULL, xlab = "Time", ylab, col = par("col"), bg = par("bg"), axes = TRUE, frame.plot = axes, ann = par("ann"), main = NULL, date = c("calendar", "julian"), format = "%Y-%m-%d", origin = "1899-12-30", ...) sharpeRatio(x, r = 0, scale = sqrt(250)) sterlingRatio(x) maxDrawDown(x)
date, format, origin |
[ohlcPlot] - date elements, date , a string indicating the type of x axis annotation.
Default is calendar dates. format , a string indicating the format of the x axis
annotation if date == "calendar" . For details see
format.POSIXct . origin an R object specifying the origin of the Julian
dates if date == "calendar" . Defaults to 1899-12-30
(Popular spreadsheet programs internally also use Julian dates
with this origin).
|
percentage |
[getReturns] - a logical flag. If set to TRUE , the return series will
be expressed in percentage points otherwise not. The default
is FALSE .
|
r |
[sharpeRatio] - the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return. |
scale |
[sharpeRatio] - a scale factor. Default corresponds to an annualization when working with daily financial time series data. |
trim |
[getReturns] - a logical flag. If set to TRUE , the first missing
observation in the return series will be removed. The
default is TRUE .
|
type |
[getReturns] - a character string specifying the type of returns to be computed. If type="continuous" , the returns are calculated
as the logarithm differences; if type="discrete" , the
returns are calculated as percentage changes.
|
x |
a numeric vector of prices.
For ohlcPlot a multivariate time series object of
class mts is required.
|
xlim, ylim, xlab, ylab, col, bg, axes, frame.plot, ann, main |
[ohlcPlot] - graphical arguments, see plot ,
plot.default and par .
|
... |
[ohlcPlot] - further graphical arguments passed to plot.window ,
title , axis , and box .
|
Open–High–Low–Close Chart:
Within an open–high–low–close bar chart, each bar represents
price information for the time interval between the open and the close
price. The left tick for each bar indicates the open price for the
time interval. The right tick indicates the closing price for the time
interval. The vertical length of the bar represents the price range
for the time interval.
The time scale of x
must be in Julian dates (days since the
origin
).
[tseries:plotOHLC]
Sharpe and Sterling Ratios:
The Sharpe ratio is defined as a portfolio's mean return in excess of
the riskless return divided by the portfolio's standard deviation. In
finance the Sharpe Ratio represents a measure of the portfolio's
risk-adjusted (excess) return.
The Sterling ratio is defined as a portfolio's overall return divided
by the portfolio's maximum drawdown statistic. In finance the
Sterling Ratio represents a measure of the portfolio's risk-adjusted
return.
[tseries:sharpe]
Maximum Drawdown:
The maximum drawdown or maximum loss statistic is defined as the
maximum value drop after one of the peaks of x
. For financial
instruments the maximum drawdown represents the worst investment
loss for a buy–and–hold strategy invested in x
.
[tseries:maxdrawdown]
Get Returns:
The function computes the return series given a financial security
price series. The price series may be an object of class numeric
or a time series object. This includes objects of classes "ts"
,
"its"
and/or "timeSeries"
.
ohlcPlot
creates an Open–High–Low–Close chart.
sharpeRatio
sterlingRatio
return the Sharpe or Sterling ratio, a numeric value.
maxDrawDown
returns a list containing the following three components:
maxDrawDown
, double representing the max drawdown or max loss
statistic; from
, the index (or vector of indices) where the
maximum drawdown period starts; to
, the index (or vector of
indices) where the max drawdown period ends.
getReturns
returns an object of the same class as the input object x
.
Adrian Trapletti for the ohlcPlot,*Ratio and maxDrawDown functions,
Diethelm Wuertz for the Rmetrics R-port.
## SOURCE("fMultivar.1B-BenchmarkAnalysis") ## Not run: ## ohlcPlot - # Plot OHLC for SP500 # ohlcPlot(x, ylab = "price", main = instrument) ## sharpeRatio - # Sharpe Ratio for DAX and FTSE: data(EuStockMarkets) dax = log(EuStockMarkets[, "DAX"]) ftse = log(EuStockMarkets[, "FTSE"]) # Ratios: sharpeRatio(dax) sharpeRatio(ftse) ## maxDrawDown - par(mfrow = c(1, 1), cex = 0.7) data(EuStockMarkets) dax = log(EuStockMarkets[, "DAX"]) mdd = maxDrawDown(dax) mdd # Plot DAX: plot(dax) segments(time(dax)[mdd$from], dax[mdd$from], time(dax)[mdd$to], dax[mdd$from]) segments(time(dax)[mdd$from], dax[mdd$to], time(dax)[mdd$to], dax[mdd$to]) mid = time(dax)[(mdd$from + mdd$to)/2] arrows(mid, dax[mdd$from], mid, dax[mdd$to], col = 2) title(main = "DAX: Max Drawdown") ## getReturns - par(mfrow = c(1, 1), cex = 0.7) data(EuStockMarkets) dax = log(EuStockMarkets[, "DAX"]) plot(getReturns(dax)) title(main = "DAX: Returns") ## End(Not run)