[Returnanalytics-commits] r2320 - in pkg/PerformanceAnalytics: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jan 29 00:42:36 CET 2013
Author: braverock
Date: 2013-01-29 00:42:36 +0100 (Tue, 29 Jan 2013)
New Revision: 2320
Added:
pkg/PerformanceAnalytics/man/AverageDrawdown.Rd
pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd
Modified:
pkg/PerformanceAnalytics/NAMESPACE
pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd
pkg/PerformanceAnalytics/man/chart.RollingMean.Rd
pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd
Log:
- more changes to pass R CMD check
- export AverageDrawdown and DrawdownDeviation, add docs to svn
Modified: pkg/PerformanceAnalytics/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/NAMESPACE 2013-01-28 23:17:29 UTC (rev 2319)
+++ pkg/PerformanceAnalytics/NAMESPACE 2013-01-28 23:42:36 UTC (rev 2320)
@@ -15,6 +15,7 @@
apply.fromstart,
apply.rolling,
AppraisalRatio,
+ AverageDrawdown,
BernardoLedoitRatio,
BetaCoKurtosis,
BetaCoSkewness,
@@ -45,6 +46,7 @@
DownsidePotential,
DRatio,
Drawdowns,
+ DrawdownDeviation,
ES,
ETL,
CVaR,
Added: pkg/PerformanceAnalytics/man/AverageDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/AverageDrawdown.Rd (rev 0)
+++ pkg/PerformanceAnalytics/man/AverageDrawdown.Rd 2013-01-28 23:42:36 UTC (rev 2320)
@@ -0,0 +1,21 @@
+\name{AverageDrawdown}
+\alias{AverageDrawdown}
+\alias{AverageRecovery}
+\title{Calculates the average of the observed drawdowns.}
+\usage{
+ AverageDrawdown(R, ...)
+
+ AverageRecovery(R, ...)
+}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{\dots}{any other passthru parameters}
+}
+\description{
+ ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth
+ drawdown over entire period d = total number of drawdowns
+ in the entire period
+}
+
Added: pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd (rev 0)
+++ pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd 2013-01-28 23:42:36 UTC (rev 2320)
@@ -0,0 +1,18 @@
+\name{DrawdownDeviation}
+\alias{DrawdownDeviation}
+\title{Calculates a standard deviation-type statistic using individual drawdowns.}
+\usage{
+ DrawdownDeviation(R, ...)
+}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{\dots}{any other passthru parameters}
+}
+\description{
+ DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where D_j = jth
+ drawdown over the entire period d = total number of
+ drawdowns in entire period n = number of observations
+}
+
Modified: pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd 2013-01-28 23:17:29 UTC (rev 2319)
+++ pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd 2013-01-28 23:42:36 UTC (rev 2320)
@@ -4,7 +4,7 @@
\usage{
chart.RollingCorrelation(Ra, Rb, width = 12,
xaxis = TRUE, legend.loc = NULL, colorset = (1:12),
- ...)
+ ..., fill = NA)
}
\arguments{
\item{Ra}{an xts, vector, matrix, data frame, timeSeries
@@ -24,16 +24,23 @@
\item{colorset}{color palette to use, set by default to
rational choices}
- \item{na.pad}{TRUE/FALSE If TRUE it adds any times that
- would not otherwise have been in the result with a value
- of NA. If FALSE those times are dropped.}
+ \item{\dots}{any other passthru parameters}
- \item{\dots}{any other passthru parameters}
+ \item{fill}{a three-component vector or list (recycled
+ otherwise) providing filling values at the left/within/to
+ the right of the data range. See the fill argument of
+ \code{\link{na.fill}} for details.}
}
\description{
A wrapper to create a chart of rolling correlation
metrics in a line chart
}
+\details{
+ The previous parameter \code{na.pad} has been replaced
+ with \code{fill}; use \code{fill = NA} instead of
+ \code{na.pad = TRUE}, or \code{fill = NULL} instead of
+ \code{na.pad = FALSE}.
+}
\examples{
# First we get the data
data(managers)
Modified: pkg/PerformanceAnalytics/man/chart.RollingMean.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.RollingMean.Rd 2013-01-28 23:17:29 UTC (rev 2319)
+++ pkg/PerformanceAnalytics/man/chart.RollingMean.Rd 2013-01-28 23:42:36 UTC (rev 2320)
@@ -3,7 +3,7 @@
\title{chart the rolling mean return}
\usage{
chart.RollingMean(R, width = 12, xaxis = TRUE,
- ylim = NULL, lwd = c(2, 1, 1), ...)
+ ylim = NULL, lwd = c(2, 1, 1), ..., fill = NA)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -17,20 +17,27 @@
\item{ylim}{set the y-axis limit, same as in
\code{\link{plot}}}
- \item{na.pad}{TRUE/FALSE If TRUE it adds any times that
- would not otherwise have been in the result with a value
- of NA. If FALSE those times are dropped.}
-
\item{lwd}{set the line width, same as in
\code{\link{plot}}. Specified in order of the main line
and the two confidence bands.}
\item{\dots}{any other passthru parameters}
+
+ \item{fill}{a three-component vector or list (recycled
+ otherwise) providing filling values at the left/within/to
+ the right of the data range. See the fill argument of
+ \code{\link{na.fill}} for details.}
}
\description{
A wrapper to create a rolling mean return chart with 95%
confidence bands.
}
+\details{
+ The previous parameter \code{na.pad} has been replaced
+ with \code{fill}; use \code{fill = NA} instead of
+ \code{na.pad = TRUE}, or \code{fill = NULL} instead of
+ \code{na.pad = FALSE}.
+}
\examples{
data(edhec)
chart.RollingMean(edhec[, 9, drop = FALSE])
Modified: pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd 2013-01-28 23:17:29 UTC (rev 2319)
+++ pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd 2013-01-28 23:42:36 UTC (rev 2320)
@@ -3,9 +3,8 @@
\title{wrapper to create a chart of rolling performance metrics in a line chart}
\usage{
chart.RollingPerformance(R, width = 12,
- FUN = "Return.annualized", ..., na.pad = TRUE,
- ylim = NULL, main = NULL,
- fill = if (na.pad) NA else NULL)
+ FUN = "Return.annualized", ..., ylim = NULL,
+ main = NULL, fill = NA)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -24,10 +23,6 @@
the right of the data range. See the fill argument of
\code{\link{na.fill}} for details.}
- \item{na.pad}{deprecated; use \code{fill = NA} instead of
- \code{na.pad = TRUE}, or \code{fill = NULL} instead of
- \code{na.pad = FALSE}}
-
\item{main}{set the chart title, same as in
\code{\link{plot}}}
@@ -41,6 +36,11 @@
A wrapper to create a chart of rolling performance
metrics in a line chart
}
+\details{
+ The parameter \code{na.pad} has been deprecated; use
+ \code{fill = NA} instead of \code{na.pad = TRUE}, or
+ \code{fill = NULL} instead of \code{na.pad = FALSE}.
+}
\examples{
data(edhec)
chart.RollingPerformance(edhec[, 1:3], width = 24)
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