[Returnanalytics-commits] r2514 - pkg/PerformanceAnalytics/sandbox/pulkit/week3/code

[noreply at r-forge.r-project.org]

Author: pulkit
Date: 2013-07-07 19:28:51 +0200 (Sun, 07 Jul 2013)
New Revision: 2514

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/TuW.R
Log:
Time Under Water

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/TuW.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/TuW.R	2013-07-07 17:28:51 UTC (rev 2514)
@@ -0,0 +1,93 @@
+#' @title
+#' Time Under Water
+#'
+#' @description
+#' \code{TriplePenance} calculates the maximum 
+#' Time under water for a particular confidence interval. 
+#'
+#'@param confidence The confidence level
+#' @param R Hedge Fund log Returns
+#' 
+#' @reference Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+
+TuW<-function(R,confidence,...){
+    x = checkData(R)
+    columns = ncol(R)
+    i = 0 
+    tp = matrix(nrow=columns)
+
+
+getQ<-function(bets,phi,mu,sigma,dp0,confidence){
+
+    # DESCRIPTION:
+    # A function to get the quantile function for cumulative returns
+    # and a  particular confidence interval.
+    
+    # Inputs:
+    # bets: The number fo steps
+    #
+    # phi: The coefficient for AR[1]
+    #
+    # mu: The mean of the returns
+    #
+    # sigma: The standard deviation of the returns
+    #
+    # dp0: The r0 or the first return
+    #
+    # confidence: The confidence level of the quantile function
+    mu_new = (phi^(bets+1)-phi)/(1-phi)*(dp0-mu)+mu*bets
+    var = sigma^2/(phi-1)^2
+    var = var*((phi^(2*(bets+1))-1)/(phi^2-1)-2*(phi^(bets+1)-1)/(phi-1)+bets +1)
+    q_value = mu_new + qnorm(1-confidence)*(var^0.5)
+    return(q_value)
+}
+
+
+get_TuW<-function(R,confidence){
+
+    # DESCRIPTION:
+    # A function to generate the  time under water
+    #
+    # Inputs:
+    # R: The function takes Returns as the input.
+    #
+    # confidence: Confidence level of the quantile function
+
+
+    x = checkData(R)
+    mu = mean(x, na.rm = TRUE)
+    sigma_infinity = StdDev(x)
+    phi = cov(x[-1],x[-length(x)])/(cov(x[-length(x)]))
+    sigma = sigma_infinity*((1-phi^2)^0.5)
+    
+    dp0 = 0
+    q_value = 0
+    bets = 0
+    while(q_value <= 0){
+        bets = bets + 1
+        q_value = getQ(bets, phi, mu, sigma, dp0, confidence)
+    }
+    TuW = golden_section(bets-1,bets,TRUE,diff,mu,sigma_infinity,phi,sigma,dp0,confidence)
+    return(TuW$x)
+}
+
+
+
+diff<-function(bets,phi,mu,sigma,dp0,confidence){
+    return(abs(getQ(bets,phi,mu,sigma,dp0,confidence)))
+}
+
+
+
+    for(i in 1:columns){
+        column_TuW = get_TuW(x[,i],confidence)
+        tp[i] <- column_TuW
+    }
+
+
+rownames(tp)<-colnames(R)
+colnames(tp)<-"Max Time Under Water"
+return(tp)
+}
+      
+