[Returnanalytics-commits] r3039 - in pkg/PerformanceAnalytics/sandbox/pulkit: R man week1/code
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Sep 10 00:33:05 CEST 2013
Author: pulkit
Date: 2013-09-10 00:33:05 +0200 (Tue, 10 Sep 2013)
New Revision: 3039
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py
Log:
na handling in drawdown beta and multi path drawdown beta
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-09-09 22:33:05 UTC (rev 3039)
@@ -69,10 +69,10 @@
# The Drawdown beta is given as the output.
- R = na.omit(R)
- Rm = na.omit(Rm)
x = checkData(R)
xm = checkData(Rm)
+ x = na.omit(x)
+ xm = na.omit(xm)
if(nrow(x) != nrow(xm)){
stop("The number of rows of the return series and the optimal portfolio should be equal")
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-09-09 22:33:05 UTC (rev 3039)
@@ -59,9 +59,14 @@
# OUTPUT:
# The Drawdown beta for multiple sample path is given as the output.
-
x = checkData(R)
- xm = checkData(Rm)
+ xm = checkData(Rm)
+ x = na.omit(x)
+ xm = na.omit(xm)
+ if(nrow(R) != nrow(Rm)){
+ stop("The length of the return series with the optimal portfolio should be equal")
+ }
+
columnnames = colnames(R)
columns = ncol(R)
drawdowns_m = Drawdowns(Rm)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/BenchmarkSR.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -24,6 +24,8 @@
\examples{
data(edhec)
BenchmarkSR(edhec) #expected 0.393797
+data(managers)
+BenchmarkSR(managers) # expected 0.8110536
}
\author{
Pulkit Mehrotra
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -2,7 +2,8 @@
\alias{MaxDD}
\title{Triple Penance Rule}
\usage{
- MaxDD(R, confidence, type = c("ar", "normal"), ...)
+ MaxDD(R, confidence = 0.95, type = c("ar", "normal"),
+ ...)
}
\arguments{
\item{R}{Returns}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -69,6 +69,9 @@
MinTrackRecord(edhec[,1],refSR=0.1,Rf = 0.04/12)
MinTrackRecord(refSR = 1/12^0.5,Rf = 0,p=0.95,sr = 2/12^0.5,sk=-0.72,kr=5.78)
MinTrackRecord(edhec[,1:2],refSR = c(0.28,0.24))
+
+data(managers)
+MinTrackRecord(managers,refSR = 0)
}
\author{
Pulkit Mehrotra
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -61,6 +61,9 @@
ProbSharpeRatio(edhec[,1],refSR = 0.23)
ProbSharpeRatio(refSR = 1/12^0.5,Rf = 0,p=0.95,sr = 2/12^0.5,sk=-0.72,kr=5.78,n=59)
ProbSharpeRatio(edhec[,1:2],refSR = c(0.28,0.24))
+
+data(managers)
+ProbSharpeRatio(managers,0)
}
\author{
Pulkit Mehrotra
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -12,9 +12,6 @@
\item{delta}{Drawdown limit}
- \item{sharpe}{If you want to use a constant Sharpe Ratio
- please specify here else the return series will be used}
-
\item{Rf}{risk free rate can be vector such as government
security rate of return.}
@@ -29,6 +26,9 @@
\item{asset}{The number of risky assets in the portfolio}
\item{type}{The type of portfolio optimization}
+
+ \item{sharpe}{If you want to use a constant Sharpe Ratio
+ please specify here else the return series will be used}
}
\description{
The Rolling Economic Drawdown Controlled Optimal
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -2,7 +2,7 @@
\alias{TuW}
\title{Maximum Time Under Water}
\usage{
- TuW(R, confidence, type = c("ar", "normal"), ...)
+ TuW(R, confidence = 0.95, type = c("ar", "normal"), ...)
}
\arguments{
\item{R}{return series}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -78,6 +78,9 @@
data(edhec)
chart.BenchmarkSR(edhec,vs="strategies")
chart.BenchmarkSR(edhec,vs="sharpe")
+
+data(managers)
+chart.BenchmarkSR(managers,vs="strategies")
}
\author{
Pulkit Mehrotra
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -73,6 +73,8 @@
\examples{
data(edhec)
chart.SRIndifference(edhec)
+data(managers)
+chart.SRIndifference(managers)
}
\author{
Pulkit Mehrotra
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd 2013-09-09 22:33:05 UTC (rev 3039)
@@ -2,7 +2,7 @@
\alias{golden_section}
\title{Golden Section Algorithm}
\usage{
- golden_section(a, b, minimum = TRUE, function_name, ...)
+ golden_section(a, b, function_name, minimum = TRUE, ...)
}
\arguments{
\item{a}{initial point}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py 2013-09-09 21:31:35 UTC (rev 3038)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/code/PSROpt.py 2013-09-09 22:33:05 UTC (rev 3039)
@@ -133,8 +133,8 @@
#-------------------------------------------
def main():
#1) Inputs (path to csv file with returns series)
- path='data.csv'
- maxIter=10000 # Maximum number of iterations
+ path='ham_data.csv'
+ maxIter=1000 # Maximum number of iterations
delta=.005 # Delta Z (attempted gain per interation)
#2) Load data, set seed
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