[Returnanalytics-commits] r2580 - pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code

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

Author: pulkit
Date: 2013-07-16 06:48:05 +0200 (Tue, 16 Jul 2013)
New Revision: 2580

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/MaxDD.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TriplePenance.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TuW.R
Log:
MaxDD and Time under water for normal distribution

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/MaxDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/MaxDD.R	2013-07-15 06:02:36 UTC (rev 2579)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/MaxDD.R	2013-07-16 04:48:05 UTC (rev 2580)
@@ -10,12 +10,12 @@
 #' 
 #' @reference Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
 
-MaxDD<-function(R,confidence,...)
+MaxDD<-function(R,confidence,type=c("ar","normal"),...)
 {
   x = checkData(R)
   
   if(ncol(x)==1 || is.null(R) || is.vector(R)){
-    
+    type = type[1] 
     calcul = FALSE
     for(i in (1:length(x))){
       if(!is.na(x[i])){
@@ -27,12 +27,22 @@
       result = NA
     }
     else{
-      result = get_minq(x,confidence)
+      if(type=="ar"){  
+        result = get_minq(x,confidence)
+        }
+      if(type=="normal"){
+          result = dd_norm(x,confidence)
+      }
     }
+
     return(result)
   }
-    
-    result = apply(x,MARGIN = 2,get_minq,confidence)
+    if(type=="ar"){
+        result = apply(x,MARGIN = 2,get_minq,confidence)
+    }
+    if(type=="normal"){
+        result = apply(x,MARGIN = 2,dd_norm,confidence)
+    }
   rownames(result) = c("MaxDD(in %)","t*")
   return(result)  
 }

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TriplePenance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TriplePenance.R	2013-07-15 06:02:36 UTC (rev 2579)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TriplePenance.R	2013-07-16 04:48:05 UTC (rev 2580)
@@ -1,3 +1,38 @@
+
+
+dd_norm<-function(x,confidence){
+    # DESCRIPTION:
+    # A function to return the maximum drawdown for a normal distribution
+
+    # Inputs:
+    # R: The Return Series
+    #
+    # confidence: The confidence Level
+    sd = StdDev(x)
+    mu = mean(x, na.rm = TRUE)
+    dd = max(0,((qnorm(1-confidence)*sd)^2)/(4*mu))
+    t = ((qnorm(1-confidence)*sd)/(2*mu))^2
+
+    return(c(dd*100,t))
+}
+
+tuw_norm<-function(x,confidence){
+    # DESCRIPTION:
+    # A function to return the Time under water
+
+    # Inputs:
+    # R: Return series
+    # confidence: The confidence level
+    sd = StdDev(x)
+    mu = mean(x,na.rm = TRUE)
+    tuw = ((qnorm(1-confidence)*sd)/mu)^2
+
+    return(tuw)
+}
+
+
+
+
 get_minq<-function(R,confidence){
   
     # DESCRIPTION:
@@ -8,7 +43,7 @@
     # Inputs:
     # R: The function takes Returns as the input
     #
-    # confidence: The confidence interval of the input.
+    # confidence: The confidence interval.
     x = checkData(R)
     mu = mean(x, na.rm = TRUE)
     sigma_infinity = StdDev(x)

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TuW.R	2013-07-15 06:02:36 UTC (rev 2579)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week3_4/code/TuW.R	2013-07-16 04:48:05 UTC (rev 2580)
@@ -10,11 +10,10 @@
 #' 
 #' @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,...){
+TuW<-function(R,confidence,type=c("ar","normal"),...){
   x = checkData(R)
-  
-  if(ncol(x)==1 || is.null(R) || is.vector(R)){
-    
+  type = type[1] 
+  if(ncol(x)==1 || is.null(R) || is.vector(R)){ 
     calcul = FALSE
     for(i in (1:length(x))){
       if(!is.na(x[i])){
@@ -26,12 +25,23 @@
       result = NA
     }
     else{
-      result = get_TuW(x,confidence)
+        if(type=="ar"){
+            result = get_TuW(x,confidence)
+        }
+        if(type=="normal"){
+            result = tuw_norm(x,confidence)
+        }
     }
     return(result)
   }
     else{
-      result=apply(x,MARGIN = 2, get_TuW,confidence)
+        if(type=="ar"){
+            result=apply(x,MARGIN = 2, get_TuW,confidence)
+        }
+        if(type=="normal"){
+             result=apply(x,MARGIN = 2, tuw_norm,confidence)
+        }
+                   
       result<-as.data.frame(result)
       result<-t(result)
       rownames(result)=paste("Max Time Under Water")