[Blotter-commits] r1599 - in pkg/blotter: R man

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

Author: braverock
Date: 2014-04-16 18:09:40 +0200 (Wed, 16 Apr 2014)
New Revision: 1599

Modified:
   pkg/blotter/R/tradeStats.R
   pkg/blotter/man/tradeStats.Rd
Log:
- add option inclZeroDays to tradeStats

Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-04-03 23:27:09 UTC (rev 1598)
+++ pkg/blotter/R/tradeStats.R	2014-04-16 16:09:40 UTC (rev 1599)
@@ -17,6 +17,14 @@
 #' something like \code{textplot} or \code{\link{data.frame}}, with rounding, 
 #' fancy formatting, etc. as your needs dictate.
 #' 
+#' Option \code{inclZeroDays}, if \code{TRUE}, will include all transaction P&L, 
+#' including for days in which the strategy was not in the market, 
+#' for daily statistics.  
+#' This can prevent irrationally good looking daily statistics for strategies
+#' which spend a fair amount of time out of the market.  For strategies which 
+#' are always in the market, the statistics should be (nearly) the same.  
+#' Default is \code{FALSE} for backwards compatibility.
+#' 
 #' If you have additional trade statistics you want added here, please share.  
 #' We find it unlikely that any transaction-level statistics that can be  
 #' calculated independently of strategy rules could be considered proprietary.
@@ -37,6 +45,7 @@
 #' @param Symbols character vector of symbol strings, default NULL
 #' @param use for determines whether numbers are calculated from transactions or round-trip trades (for tradeStats) or equity curve (for dailyStats)  
 #' @param tradeDef string to determine which definition of 'trade' to use. Currently "flat.to.flat" (the default) and "flat.to.reduced" are implemented.
+#' @param inclZeroDays TRUE/FALSE, whether to include zero P&L days in daily calcs, default FALSE for backwards compatibility.
 #' @author Lance Levenson, Brian Peterson
 #' @export
 #' @importFrom zoo as.Date
@@ -88,7 +97,7 @@
 #' Buy and hold return
 #' 
 #' Josh has suggested adding \%-return based stats too
-tradeStats <- function(Portfolios, Symbols ,use=c('txns','trades'), tradeDef='flat.to.flat')
+tradeStats <- function(Portfolios, Symbols ,use=c('txns','trades'), tradeDef='flat.to.flat',inclZeroDays=FALSE)
 {
     ret <- NULL
     use <- use[1] #use the first(default) value only if user hasn't specified
@@ -116,7 +125,9 @@
                 next
             }
 
-            DailyPL    <- apply.daily(PL.ne0,sum)
+            if(!isTRUE(inclZeroDays)) DailyPL <- apply.daily(PL.ne0,sum)
+            else DailyPL <- apply.daily(txn$Net.Txn.Realized.PL,sum)
+            
             AvgDailyPL <- mean(DailyPL)
             MedDailyPL <- median(DailyPL)
             StdDailyPL <- sd(as.numeric(as.vector(DailyPL)))

Modified: pkg/blotter/man/tradeStats.Rd
===================================================================
--- pkg/blotter/man/tradeStats.Rd	2014-04-03 23:27:09 UTC (rev 1598)
+++ pkg/blotter/man/tradeStats.Rd	2014-04-16 16:09:40 UTC (rev 1599)
@@ -4,7 +4,7 @@
 \title{calculate statistics on transactions and P&L for a symbol or symbols in a portfolio or portfolios}
 \usage{
 tradeStats(Portfolios, Symbols, use = c("txns", "trades"),
-  tradeDef = "flat.to.flat")
+  tradeDef = "flat.to.flat", inclZeroDays = FALSE)
 
 dailyStats(Portfolios, use = c("equity", "txns"))
 }
@@ -21,6 +21,10 @@
   \item{tradeDef}{string to determine which definition of
   'trade' to use. Currently "flat.to.flat" (the default)
   and "flat.to.reduced" are implemented.}
+
+  \item{inclZeroDays}{TRUE/FALSE, whether to include zero
+  P&L days in daily calcs, default FALSE for backwards
+  compatibility.}
 }
 \value{
 a \code{data.frame} containing:
@@ -48,7 +52,7 @@
 \code{\link{dailyStats}} for all days }
 \item{Med.Daily.PL}{ median daily P&L }
 \item{Std.Dev.Daily.PL}{ standard deviation of daily P&L }
-\item{Ann.Sharpe}{annualized Sharpe-like ratio, assuming no
+\item(Ann.Sharpe){annualized Sharpe-like ratio, assuming no
 outside capital additions and 252 day count convention}
 \item{Max.Drawdown}{ max drawdown }
 \item{Avg.WinLoss.Ratio}{ ratio of mean winning over mean
@@ -80,6 +84,15 @@
 \code{\link{data.frame}}, with rounding, fancy formatting,
 etc. as your needs dictate.
 
+Option \code{inclZeroDays}, if \code{TRUE}, will include
+all transaction P&L, including for days in which the
+strategy was not in the market, for daily statistics. This
+can prevent irrationally good looking daily statistics for
+strategies which spend a fair amount of time out of the
+market.  For strategies which are always in the market, the
+statistics should be (nearly) the same. Default is
+\code{FALSE} for backwards compatibility.
+
 If you have additional trade statistics you want added
 here, please share. We find it unlikely that any
 transaction-level statistics that can be calculated