[Returnanalytics-commits] r2963 - in pkg/PerformanceAnalytics/sandbox/pulkit: . R inst/doc

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

Author: pulkit
Date: 2013-09-01 01:51:12 +0200 (Sun, 01 Sep 2013)
New Revision: 2963

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/inst/doc/ProbSharpe.pdf
Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
   pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkSR.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
Log:
removed edhec values from code

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION	2013-08-31 23:21:34 UTC (rev 2962)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/DESCRIPTION	2013-08-31 23:51:12 UTC (rev 2963)
@@ -45,3 +45,6 @@
     'table.PSR.R'
     'TriplePenance.R'
     'TuW.R'
+    'capm_aorda.R'
+    'psr_python.R'
+    'ret.R'

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R	2013-08-31 23:21:34 UTC (rev 2962)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R	2013-08-31 23:51:12 UTC (rev 2963)
@@ -77,7 +77,7 @@
     
   }
   vs = vs[1]
-  corr = table.Correlation(edhec,edhec)
+  corr = table.Correlation(R,R)
   corr_avg = 0
   for(i in 1:(columns-1)){
     for(j in (i+1):columns){

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkSR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkSR.R	2013-08-31 23:21:34 UTC (rev 2962)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkSR.R	2013-08-31 23:51:12 UTC (rev 2963)
@@ -46,7 +46,7 @@
   }
   SR = SharpeRatio(x)
   sr_avg = mean(SR)
-  corr = table.Correlation(edhec,edhec)
+  corr = table.Correlation(R,R)
   corr_avg = 0
   for(i in 1:(columns-1)){
     for(j in (i+1):columns){

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R	2013-08-31 23:21:34 UTC (rev 2962)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R	2013-08-31 23:51:12 UTC (rev 2963)
@@ -76,7 +76,7 @@
   }
   SR = SharpeRatio(x)
   sr_avg = mean(SR)
-  corr = table.Correlation(edhec,edhec)
+  corr = table.Correlation(R,R)
   corr_avg = 0
   for(i in 1:(columns-1)){
     for(j in (i+1):columns){

Added: pkg/PerformanceAnalytics/sandbox/pulkit/inst/doc/ProbSharpe.pdf
===================================================================
(Binary files differ)


Property changes on: pkg/PerformanceAnalytics/sandbox/pulkit/inst/doc/ProbSharpe.pdf
___________________________________________________________________
Added: svn:mime-type
   + application/octet-stream