[Blotter-commits] r519 - pkg/blotter/R

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

Author: braverock
Date: 2011-01-02 12:52:49 +0100 (Sun, 02 Jan 2011)
New Revision: 519

Modified:
   pkg/blotter/R/tradeStats.R
Log:
- add tradeStats TODO's


Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2011-01-02 11:14:02 UTC (rev 518)
+++ pkg/blotter/R/tradeStats.R	2011-01-02 11:52:49 UTC (rev 519)
@@ -36,6 +36,19 @@
 #' @export
 #' @note
 #' TODO document each statistic included in this function, with equations 
+#' 
+#' TODO add more stats, potentially
+#' PerformanceAnalytics: skewness, kurtosis, upside/downside semidieviation, Sharpe/Sortino
+#' 
+#' mean absolute deviation stats
+#' 
+#' more Tharpe/Kestner/Tradestation stats, e.g.
+#' K-factor
+#' RINA Index
+#' Percent time in the market
+#' Buy and hold return
+#' 
+#' Josh has suggested adding %-return based stats too
 tradeStats <- function(Portfolios, Symbols)
 {
     ret<-NULL