[Returnanalytics-commits] r2518 - pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2

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

Author: shubhanm
Date: 2013-07-08 08:00:40 +0200 (Mon, 08 Jul 2013)
New Revision: 2518

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/ACStdDev.annualized.R
Log:
Week 2 : Autocorrelated adjusted Standard Deviation

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/ACStdDev.annualized.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/ACStdDev.annualized.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/ACStdDev.annualized.R	2013-07-08 06:00:40 UTC (rev 2518)
@@ -0,0 +1,73 @@
+#' calculate a multiperiod or annualized Autocorrleation adjusted Standard Deviation 
+#'
+#' @aliases sd.multiperiod sd.annualized StdDev.annualized
+#' @param x an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param lag : number of autocorrelated lag factors inputted by user
+#' @param scale number of periods in a year (daily scale = 252, monthly scale =
+#' 12, quarterly scale = 4)
+#' @param \dots any other passthru parameters
+#' @author R
+#' @seealso \code{\link[stats]{sd}} \cr
+#' \url{http://wikipedia.org/wiki/inverse-square_law}
+#' @references Burghardt, G., and L. Liu, \emph{ It's the Autocorrelation, Stupid (November 2012) Newedge
+working paper.http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf \cr
+#' @keywords ts multivariate distribution models
+#' @examples
+#' 
+#'     data(edhec)
+#'     ACsd.annualized(edhec,3)
+
+#' 
+#' @export
+#' @rdname ACStdDev.annualized
+ACStdDev.annualized <- ACsd.annualized <- ACsd.multiperiod <-
+  function (x,lag, scale = NA, ...)
+  {
+    if(is.na(scale) && !xtsible(x))
+      stop("'x' needs to be timeBased or xtsible, or scale must be specified." )
+    
+    if(is.na(scale)) {
+      freq = periodicity(x)
+      switch(freq$scale,
+             #kChec
+             minute = {stop("Data periodicity too high")},
+             hourly = {stop("Data periodicity too high")},
+             daily = {scale = 252},
+             weekly = {scale = 52},
+             monthly = {scale = 12},
+             quarterly = {scale = 4},
+             yearly = {scale = 1}
+      )
+    }
+    
+    if (is.vector(x)) {
+      correl = acf(x,lag)
+      
+      #scale standard deviation by multiplying by the square root of the number of periods to scale by
+      sqrt(scale*(1+ 2*sum(correl$acf[2:(lag+1)])))*sd(x, na.rm=TRUE)
+    } else { 
+      if(!xtsible(x) & is.na(scale))
+        stop("'x' needs to be timeBased or xtsible, or scale must be specified." )
+      x = checkData (x)
+      
+      result = apply(x, 2, sd.multiperiod, scale=scale)
+      
+      dim(result) = c(1,NCOL(x))
+      colnames(result) = colnames(x)
+      rownames(result) = "Annualized Standard Deviation"
+      return(result)
+    }
+  }
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2013 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: ACStdDev.annualized.R 
+#
+###############################################################################