[Returnanalytics-commits] r2942 - in pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Aug 30 12:29:17 CEST 2013
Author: shubhanm
Date: 2013-08-30 12:29:17 +0200 (Fri, 30 Aug 2013)
New Revision: 2942
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/AcarSim.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.UnsmoothReturn.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/Return.Okunev.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.UnsmoothReturn.Rd
Log:
/R code modification and addition of features
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/AcarSim.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/AcarSim.R 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/AcarSim.R 2013-08-30 10:29:17 UTC (rev 2942)
@@ -20,7 +20,7 @@
#' @rdname AcarSim
#' @export
AcarSim <-
- function()
+ function(R)
{
library(PerformanceAnalytics)
@@ -30,13 +30,16 @@
R = checkData(edhec, method="xts")
# Get dimensions and labels
# simulated parameters using edhec data
-mu=mean(Return.annualized(edhec))
+mu=mean(Return.annualized(R))
monthly=(1+mu)^(1/12)-1
-sig=StdDev.annualized(edhec[,1])[1];
+ vol = as.numeric(StdDev.annualized(R));
+ ret=as.numeric(Return.annualized(R))
+ drawdown =as.numeric(maxDrawdown(R))
+ sig=mean(StdDev.annualized(R));
T= 36
j=1
dt=1/T
-nsim=6000;
+nsim=1;
thres=4;
r=matrix(0,nsim,T+1)
monthly = 0
@@ -77,9 +80,10 @@
lines(((fddown[,2])/(sig*nsim)),type='o',col="pink")
lines(((fddown[,3])/(sig*nsim)),type='o',col="green")
lines(((fddown[,4])/(sig*nsim)),type='o',col="red")
-legend(32,-4, c("%99", "%95", "%90","%85"), col = c("blue","pink","green","red"), text.col= "black",
- lty = c(2, -1, 1), pch = c(-1, 3, 4), merge = TRUE, bg='gray90')
-
+ points((ret/vol), (-drawdown/vol), col = "black", pch=10)
+ legend(32,-4, c("%99", "%95", "%90","%85","Fund"), col = c("blue","pink","green","red","black"), text.col= "black",
+ lty = c(2, -1, 1,2), pch = c(-1, 3, 4,10), merge = TRUE, bg='gray90')
+
title("Maximum Drawdown/Volatility as a function of Return/Volatility
36 monthly returns simulated 6,000 times")
}
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R 2013-08-30 10:29:17 UTC (rev 2942)
@@ -21,7 +21,7 @@
#' @param q number of lag factors for autocorrelation
#' @references Okunev, John and White, Derek R., \emph{ Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies} (October 2003).
#' Available at SSRN: \url{http://ssrn.com/abstract=460641}
-#' @author Peter Carl, Brian Peterson, Shubhankit Mohan
+#' @author Shubhankit Mohan
#' @seealso \code{\link{Return.Geltner}} \cr
#' @keywords ts multivariate distribution models
#' @examples
@@ -33,8 +33,12 @@
#' @export
Return.Okunev<-function(R,q=3)
{
+
column.okunev=R
- column.okunev <- column.okunev[!is.na(column.okunev)]
+ col=ncol(R)
+ for(j in 1:col){
+ column.okunev[,j] <- column.okunev[,j][!is.na(column.okunev[,j])]
+}
for(i in 1:q)
{
lagR = lag(column.okunev, k=i)
@@ -42,7 +46,8 @@
}
return(c(column.okunev))
}
-#' Recusrsive Okunev Call Function
+# Recusrsive Okunev Call Function
+
quad <- function(R,d)
{
coeff = as.numeric(acf(as.numeric(edhec[,1]), plot = FALSE)[1:2][[1]])
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.UnsmoothReturn.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.UnsmoothReturn.R 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.UnsmoothReturn.R 2013-08-30 10:29:17 UTC (rev 2942)
@@ -31,7 +31,7 @@
#' @rdname table.UnsmoothReturn
#' @export
table.UnsmoothReturn <-
- function (R, n = 3, p= 0.95, digits = 4)
+ function (R, n = 2, p= 0.95, digits = 4)
{# @author
# DESCRIPTION:
@@ -53,17 +53,17 @@
# for each column, do the following:
for(column in 1:columns) {
x = y[,column]
-
- z = c(arma(x,0,2)$theta[1],
- arma(x,0,2)$se.theta[1],
- arma(x,0,2)$theta[2],
- arma(x,0,2)$se.theta[2],
- arma(x,0,2)$se.theta[2])
+ ma.stats= arma(x, order = c(0, 2))
+
+ z = c(as.numeric(ma.stats$coef[1]),
+ sqrt(as.numeric(ma.stats$vcov[1]))*100,
+ as.numeric(ma.stats$coef[2]),
+ sqrt(as.numeric(ma.stats$vcov[4]))*100,sum(as.numeric(ma.stats$coef[1:2])*as.numeric(ma.stats$coef[1:2])))
znames = c(
- "Moving Average(1)",
- "Std Error of MA(1)",
- "Moving Average(2)",
- "Std Error of MA(2)",
+ "MA(1)",
+ "Std Error of MA(1)(in %)",
+ "MA(2)",
+ "Std Error of MA(2)(in %)",
"Smoothing Invest"
)
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd 2013-08-30 10:29:17 UTC (rev 2942)
@@ -2,7 +2,7 @@
\alias{AcarSim}
\title{Acar-Shane Maximum Loss Plot}
\usage{
- AcarSim()
+ AcarSim(R)
}
\description{
To get some insight on the relationships between maximum
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/Return.Okunev.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/Return.Okunev.Rd 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/Return.Okunev.Rd 2013-08-30 10:29:17 UTC (rev 2942)
@@ -59,7 +59,7 @@
head(Return.Okunev(managers[,1:3]),n=3)
}
\author{
- Peter Carl, Brian Peterson, Shubhankit Mohan
+ Shubhankit Mohan
}
\references{
Okunev, John and White, Derek R., \emph{ Hedge Fund Risk
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.UnsmoothReturn.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.UnsmoothReturn.Rd 2013-08-30 08:41:17 UTC (rev 2941)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.UnsmoothReturn.Rd 2013-08-30 10:29:17 UTC (rev 2942)
@@ -2,7 +2,7 @@
\alias{table.UnsmoothReturn}
\title{Table of Unsmooth Returns}
\usage{
- table.UnsmoothReturn(R, n = 3, p = 0.95, digits = 4)
+ table.UnsmoothReturn(R, n = 2, p = 0.95, digits = 4)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
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