[GSoC-PortA] Some feedback...
Peter Carl
peter at braverock.com
Mon Sep 23 01:46:21 CEST 2013
Sorry, prior to the
> extractWeights(buoys)
line below, I should have said that combining the portfolios isn't quite
going smoothly yet.
I can get the weights out fine...
(as shown)
...but not the objective measures
(as shown).
pcc
--
Peter Carl
http://www.braverock.com/peter
> Ross,
>
> I've been working through your vignette to hopefully give you some more
> detailed feedback, including on your questions from a few days ago. Sorry
> this has taken so long, but I wanted to spend some focused time on the
> package.
>
> I realize that you've got different plot methods for each type, and I
> appreciate what a hassle it is to keep such methods relatively consistent.
> In chart.RiskReturn.DE, when the function doesn't find anything that fits
> its defaults:
>> plot(RiskBudget.DE)
> Error in plot.window(...) : need finite 'xlim' values
> In addition: Warning messages:
> 1: In chart.Scatter.DE(object = DE, risk.col = risk.col, return.col =
> return.col, :
> mean or ES do not match extractStats output of $objective_measures slot
> 2: In min(x) : no non-missing arguments to min; returning Inf
> 3: In max(x) : no non-missing arguments to max; returning -Inf
>
> It's a risk budget on ETL, so if I tell it that, it works:
>> plot(RiskBudget.DE, risk.col="ETL", return.col="mean")
>
> ...but it doesn't recover well when I try to plot the results in variance
> space:
>> plot(RiskBudget.DE, risk.col="StdDev", return.col="mean")
> Error in plot.window(...) : need finite 'xlim' values
> In addition: Warning messages:
> 1: In chart.Scatter.DE(object = DE, risk.col = risk.col, return.col =
> return.col, :
> mean or StdDev do not match extractStats output of $objective_measures
> slot
> 2: In min(x) : no non-missing arguments to min; returning Inf
> 3: In max(x) : no non-missing arguments to max; returning -Inf
>
>
> I'm not exactly sure what the issue is here, but maybe it's related:
>> chart.RiskBudget(RiskBudget.DE, risk.type="percentage", neighbors=5)
> Error in subsetx[i, riskcols] : incorrect number of dimensions
>> traceback()
> 3: points(subsetx[i, riskcols], type = "b", col = "lightblue")
> 2: chart.RiskBudget.optimize.portfolio(RiskBudget.DE, risk.type =
> "percentage",
> neighbors = 5)
> 1: chart.RiskBudget(RiskBudget.DE, risk.type = "percentage", neighbors =
> 5)
>
> In chart.RiskReturnScatter.RP, it looks like 'rp' is being passed into
> plot through dots.
>> plot(EqmETL.RND, risk.col="StdDev", return.col="mean", rp=1000,
> chart.assets=TRUE)
> There were 13 warnings (use warnings() to see them)
>> warnings()
> Warning messages:
> 1: "rp" is not a graphical parameter
> 2: "rp" is not a graphical parameter
> 3: "rp" is not a graphical parameter
>
>
>> extractWeights(buoys)
> Convertible Arbitrage Equity Market Neutral Fixed Income
> Arbitrage Event Driven CTA Global Global Macro Long/Short Equity
> MeanSD 0.05000000 0.050
> 0.050 0.30000000 0.0500000 0.2000000 0.300
> MeanmETL 0.05000000 0.300
> 0.050 0.05000000 0.2000000 0.3000000 0.050
> MinSD 0.06042904 0.300
> 0.300 0.05234676 0.1735858 0.0636384 0.050
> MinmETL 0.05000000 0.300
> 0.050 0.05000000 0.2000000 0.3000000 0.050
> EqSD 0.12500000 0.240
> 0.200 0.08500000 0.1050000 0.1700000 0.075
> EqmETL 0.06000000 0.265
> 0.165 0.09000000 0.2050000 0.1300000 0.080
> RB 0.05200000 0.410
> 0.060 0.05200000 0.1438995 0.2220000 0.058
>
> ...but this doesn't:
>> extractObjectiveMeasures(buoys)
> mean StdDev ES StdDev.contribution1
> StdDev.contribution2 StdDev.contribution3
> StdDev.contribution4
> MeanSD 0.006782814 0.01546759 NA NA
> NA NA NA
> MeanmETL 0.005897789 NA 0.01505626 NA
> NA NA NA
> MinSD NA 0.01009001 NA NA
> NA NA NA
> MinmETL NA NA 0.01505626 NA
> NA NA NA
> EqSD NA 0.01113716 NA 0.001763096
> 0.001565752 0.001886988 0.001258567
> EqmETL NA NA 0.01646509 NA
> NA NA NA
> RB 0.005812997 NA NA NA
> NA NA NA
> StdDev.contribution5 StdDev.contribution6 StdDev.contribution7
> StdDev.pct_contrib_StdDev1 StdDev.pct_contrib_StdDev2
> MeanSD NA NA NA
> NA NA
> MeanmETL NA NA NA
> NA NA
> MinSD NA NA NA
> NA NA
> MinmETL NA NA NA
> NA NA
> EqSD 0.001039908 0.002296903 0.001325947
> 0.1583075 0.1405881
> EqmETL NA NA NA
> NA NA
> RB NA NA NA
> NA NA
> ...snip...
>
> As a consequence, only one portfolio appears in the following plot
> (MeanSD):
>> chart.RiskReward(buoys)
>
> All in all, this is all looking good. I've got some scripts checked in
> under sandbox/symposium2013 if you want to follow along.
>
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter
>
>
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