[Returnanalytics-commits] r2652 - pkg/PerformanceAnalytics/sandbox/pulkit/week5

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

Author: pulkit
Date: 2013-07-27 16:32:41 +0200 (Sat, 27 Jul 2013)
New Revision: 2652

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/EDDCOPS.R
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week5/edd.R
Log:
EDD COPS

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week5/EDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/EDDCOPS.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/EDDCOPS.R	2013-07-27 14:32:41 UTC (rev 2652)
@@ -0,0 +1,85 @@
+#'@title
+#'Economic Drawdown Controlled Optimal Portfolio Strategy
+#'
+#'@description
+#'The  Economic Drawdown Controlled Optimal Portfolio Strategy(EDD-COPS) has 
+#'the portfolio fraction allocated to single risky asset as:
+#'
+#' \deqn{x_t = Max\left\{0,\biggl(\frac{\lambda/\sigma + 1/2}{1-\delta.\gamma}\biggr).\biggl[\frac{\delta-EDD(t)}{1-EDD(t)}\biggr]\right\}}
+#' 
+#' The risk free asset accounts for the rest of the portfolio allocation \eqn{x_f = 1 - x_t}.
+#' 
+#'
+#'@param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#'@param delta Drawdown limit
+#'@param gamma (1-gamma) is the investor risk aversion
+#'else the return series will be used
+#'@param Rf risk free rate can be vector such as government security rate of return.
+#'@param h Look back period
+#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
+#'@param ... any other variable
+#'
+#'@references Yang, Z. George and Zhong, Liang, Optimal Portfolio Strategy to 
+#'Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February 25, 2012)
+#'
+#'
+#'@examples
+#'
+#' # with S&P 500 data and T-bill data
+#'
+#'dt<-read.zoo("returns.csv",sep=",",header = TRUE)
+#'dt<-as.xts(dt)
+#'EDDCOPS(dt[,1],delta = 0.33,gamma = 0.7,Rf = (1+dt[,2])^(1/12)-1,geometric = TRUE)
+#'
+#'data(edhec)
+#'EDDCOPS(edhec,delta = 0.1,gamma = 0.7,Rf = 0)
+#'@export
+#'
+
+EDDCOPS<-function(R ,delta,gamma,Rf,geometric = TRUE,...){
+  # DESCRIPTION
+  # Calculates the dynamic weights for single and double risky asset portfolios
+  # using  Economic Drawdown
+  
+  # INPUT:
+  # The Return series ,drawdown limit, risk aversion,risk free rate  are 
+  # given as the input
+  
+  # FUNCTION:
+  x = checkData(R)
+  rf = checkData(Rf)
+  columns = ncol(x)
+  columnnames = colnames(x)
+  sharpe = SharpeRatio.annualized(x,rf)
+  sd = StdDev.annualized(R)
+  dynamicPort<-function(x){
+    factor = (sharpe[,column]/sd[,column]+0.5)/(1-delta*gamma)
+    xt = ifelse(factor*(delta-x)/(1-x)>0,factor*(delta-x)/(1-x),0)
+    return(xt)
+  }
+  
+  edd = EconomicDrawdown(R,Rf,geometric)
+  for(column in 1:columns){
+    column.xt <- na.omit(edd[,column],FUN = dynamicPort,column = column)
+    if(column == 1)
+      xt = column.xt
+    else xt = merge(xt, column.xt) 
+  }
+  colnames(xt) = columnnames
+  xt = reclass(xt, x)
+  return(xt)
+  
+}
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 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: EDDCOPS.R $
+#
+##############################################################################

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	2013-07-27 10:10:07 UTC (rev 2651)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R	2013-07-27 14:32:41 UTC (rev 2652)
@@ -38,6 +38,7 @@
 #' # with S&P 500 data and T-bill data
 #'
 #'dt<-read.zoo("returns.csv",sep=",",header = TRUE)
+#'dt<-as.xts(dt)
 #'REDDCOPS(dt[,1],delta = 0.33,Rf = (1+dt[,2])^(1/12)-1,h = 12,geometric = TRUE,asset = "one")
 #'
 #'data(edhec)
@@ -128,6 +129,7 @@
     else xt = merge(xt, column.xt) 
   }
   colnames(xt) = columnnames
+  xt = reclass(xt, x)
   return(xt)
   
 }

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/edd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/edd.R	2013-07-27 10:10:07 UTC (rev 2651)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/edd.R	2013-07-27 14:32:41 UTC (rev 2652)
@@ -67,7 +67,7 @@
     else Economicdrawdown = merge(Economicdrawdown, column.drawdown) 
   }
   colnames(Economicdrawdown) = columnnames
-  Economicdrawdown = reclass(Economicdrawdown, x)
+  #Economicdrawdown = reclass(Economicdrawdown, x)
   return(Economicdrawdown)
 }