[Returnanalytics-commits] r2728 - pkg/PerformanceAnalytics/sandbox/pulkit/week6

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

Author: pulkit
Date: 2013-08-06 11:49:20 +0200 (Tue, 06 Aug 2013)
New Revision: 2728

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week6/DrawdownBeta.R
   pkg/PerformanceAnalytics/sandbox/pulkit/week6/Drawdownalpha.R
Log:
Average and Max drawdown for alpha and beta drawdown

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week6/DrawdownBeta.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week6/DrawdownBeta.R	2013-08-06 09:34:38 UTC (rev 2727)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week6/DrawdownBeta.R	2013-08-06 09:49:20 UTC (rev 2728)
@@ -30,7 +30,8 @@
 #'@param p confidence level for calculation ,default(p=0.95)
 #'@param weights portfolio weighting vector, default NULL, see Details
 #' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
-#' @param invert TRUE/FALSE whether to invert the drawdown measure.  see Details.
+#' @param type The type of BetaDrawdown if specified alpha then the alpha value given is taken (default 0.95). If "average" then
+#' alpha = 0 and if "max" then alpha = 1 is taken.
 #'@param \dots any passthru variable.
 #'
 #'@references
@@ -42,7 +43,7 @@
 #'
 #'BetaDrawdown(edhec[,1],edhec[,2]) #expected value 0.5390431
 
-BetaDrawdown<-function(R,Rm,h=0,p=0.95,weights=NULL,geometric=TRUE,...){
+BetaDrawdown<-function(R,Rm,h=0,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
 
     # DESCRIPTION:
     #
@@ -61,6 +62,13 @@
     columnnames = colnames(R)
     columns = ncol(R)
     drawdowns_m = Drawdowns(Rm)
+    type = type[1]
+    if(type=="average"){
+        p = 0
+    }
+    if(type == "max"){
+        p = 1
+    }
     if(!is.null(weights)){
         x = Returns.portfolio(R,weights)
     }
@@ -116,3 +124,5 @@
     return(beta)
 
 }
+
+

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week6/Drawdownalpha.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week6/Drawdownalpha.R	2013-08-06 09:34:38 UTC (rev 2727)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week6/Drawdownalpha.R	2013-08-06 09:49:20 UTC (rev 2728)
@@ -22,7 +22,9 @@
 #'@param p confidence level for calculation ,default(p=0.95)
 #'@param weights portfolio weighting vector, default NULL, see Details
 #' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
+#' @param type The type of BetaDrawdown if specified alpha then the alpha value given is taken (default 0.95). If "average" then alpha = 0 and if "max" then alpha = 1 is taken.
 #'@param \dots any passthru variable
+#'
 #'@references
 #'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model 
 #'(CAPM) with Drawdown Measure.Research Report 2012-9, ISE Dept., University 
@@ -30,24 +32,35 @@
 #'
 #'@examples
 #'
+#'AlphaDrawdown(edhec[,1],edhec[,2]) ## expected value : 0.5141929
 #'
-AlphaDrawdown<-function(R,Rm,p=0.95,weights = NULL,geometric = TRUE,...){
+#'AlphaDrawdown(edhec[,1],edhec[,2],type="max") ## expected value : 0.8983177
+#'
+#'AlphaDrawdown(edhec[,1],edhec[,2],type="average") ## expected value : 1.692592
+#'@export
+
+
+AlphaDrawdown<-function(R,Rm,p=0.95,weights = NULL,geometric = TRUE,type=c("alpha","average","max"),...){
     # DESCRIPTION:
     # This function calculates the drawdown alpha given the return series 
     # and the optimal return series
     # 
     # INPUTS:
-    # The return series of the portfolio , the return series of the optimal portfolio
-    # The confidence level, the weights and the type of cumulative returns
+    # The return series of the portfolio , the return series of the optimal
+    # portfolio. The confidence level, the weights and the type of cumulative
+    # returns.
 
     # OUTPUT:
     # The drawdown alpha is given as the output
 
 
-    # ERROR HANDLING !!
+    # TODO  ERROR HANDLING
+    if(ncol(R) != ncol(Rm)){
+        stop("The number of columns in R and Rm should be equal")
+    }
     x = checkData(R)
     xm = checkData(Rm)
-    beta = BetaDrawdown(R,Rm,p = p,weights=weights,geometric=geometric,...)
+    beta = BetaDrawdown(R,Rm,p = p,weights=weights,geometric=geometric,type=type,...)
     if(!is.null(weights)){
         x = Returns.portfolio(R,weights)
     }