[Returnanalytics-commits] r2896 - in pkg/PerformanceAnalytics/sandbox/pulkit: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Aug 26 20:48:50 CEST 2013
Author: pulkit
Date: 2013-08-26 20:48:50 +0200 (Mon, 26 Aug 2013)
New Revision: 2896
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/GoldenSection.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/MonteSimulTriplePenance.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R
pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.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.Penance.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/table.PSR.Rd
pkg/PerformanceAnalytics/sandbox/pulkit/man/table.Penance.Rd
Log:
some changes in documentation and examples
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/BenchmarkPlots.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -25,11 +25,12 @@
#'@param cex set the cex value, as in \code{\link{plot}}
#'@param cex.axis set the cex.axis value, as in \code{\link{plot}}
#'@param cex.main set the cex.main value, as in \code{\link{plot}}
+#'@param cex.lab set the cex.lab value, as in \code{\link{plot}}
#'@param vs The values against which benchmark SR has to be plotted. can be
#'"sharpe","correlation" or "strategies"
#'@param ylim set the ylim value, as in \code{\link{plot}}
#'@param xlim set the xlim value, as in \code{\link{plot}}
-#'
+#'@param \dots any other passthru variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{BenchmarkSR}} \code{\link{chart.SRIndifference}} \code{\link{plot}}
#'@references
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/CDaRMultipath.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -22,8 +22,7 @@
#'
#'@param R an xts, vector, matrix,data frame, timeSeries or zoo object of multiple sample path returns
#'@param ps the probability for each sample path
-#'@param scen the number of scenarios in the Return series
-#'@param instr the number of instruments in the Return series
+#'@param sample the number of samples in the Return series
#'@param geometric utilize geometric chaining (TRUE) or simple/arithmetic
#'chaining (FALSE) to aggregate returns, default TRUE
#'@param p confidence level for calculation ,default(p=0.95)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBeta.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -55,7 +55,7 @@
#'BetaDrawdown(edhec[,1],edhec[,2])
#'
#'@export
-BetaDrawdown<-function(R,Rm,h=0,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
+BetaDrawdown<-function(R,Rm,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
# DESCRIPTION:
#
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/DrawdownBetaMulti.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -22,7 +22,9 @@
#'
#'@param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
#'@param Rm Return series of the optimal portfolio an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
+#'@param sample The number of sample paths in the return series
#'@param p confidence level for calculation ,default(p=0.95)
+#'@param ps The probability for each sample path
#'@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
@@ -44,7 +46,7 @@
#'BetaDrawdown(edhec[,1],edhec[,2]) #expected value 0.5390431
#'@export
-MultiBetaDrawdown<-function(R,Rm,sample,ps,h=0,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
+MultiBetaDrawdown<-function(R,Rm,sample,ps,p=0.95,weights=NULL,geometric=TRUE,type=c("alpha","average","max"),...){
# DESCRIPTION:
#
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/EDDCOPS.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -16,8 +16,7 @@
#'@param gamma (1-gamma) is the investor risk aversion
#'else the return series will be used
#'@param Rf risk free rate can be vector such as government security rate of return.
-#'@param h Look back period
-#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
+#'@param geometric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
#'@param ... any other variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/Edd.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -10,7 +10,7 @@
#'
#'\deqn{EDD(t)=1-\frac{W_t}/{EM(t)}}
#'
-#'Here EM stands for Economic Max and is the code \code{\link{EconomicMax}}
+#'Here EM stands for Economic Max.
#'
#'
#'@param R an xts, vector, matrix, data frame, timeseries, or zoo object of asset return.
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/GoldenSection.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/GoldenSection.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/GoldenSection.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -18,8 +18,9 @@
#'@param b final point
#'@param minimum TRUE to calculate the minimum and FALSE to calculate the Maximum
#'@param function_name The name of the function
+#'@param \dots any other passthru variable
#'@author Pulkit Mehrotra
-#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#'
#'@export
golden_section<-function(a,b,minimum = TRUE,function_name,...){
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -39,9 +39,10 @@
#' @param R Returns
#' @param confidence the confidence interval
#' @param type The type of distribution "normal" or "ar"."ar" stands for Autoregressive.
+#' @param \dots any other passthru variable
#' @author Pulkit Mehrotra
#' @seealso \code{\link{chart.Penance}} \code{\link{table.Penance}} \code{\link{TuW}}
-#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#'
#' @examples
#'
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MinTRL.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -1,7 +1,7 @@
#'@title Minimum Track Record Length
#'
#'@description
-#'Minimum Track Record Length tells us “How long should a track record be in
+#'Minimum Track Record Length tells us "How long should a track record be in
#'order to have statistical confidence that its Sharpe ratio is above a given
#'threshold? ". If a track record is shorter than MinTRL, we do not have enough
#'confidence that the observed Sharpe Ratio is above the designated threshold.
@@ -37,6 +37,7 @@
#'To be given in case the return series is not given.
#'@param kr Kurtosis, in the same periodicity as the returns(non-annualized).
#'To be given in case the return series is not given.
+#'@param \dots any other passthru variable
#'
#'@author Pulkit Mehrotra
#'@seealso \code{\link{ProbSharpeRatio}} \code{\link{PsrPortfolio}} \code{\link{table.PSR}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MonteSimulTriplePenance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MonteSimulTriplePenance.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MonteSimulTriplePenance.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -21,7 +21,7 @@
#' @param confidence Confidence level for quantile
#' @author Pulkit Mehrotra
#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs
-#' and the ‘Triple Penance’ Rule(January 1, 2013).
+#' and the "Triple Penance" Rule(January 1, 2013).
#'
#' @examples
#' MonteSimulTriplePenance(10^6,0.5,1,2,1,25,0.95) # Expected Value Quantile (Exact) = 6.781592
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/ProbSharpeRatio.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -30,6 +30,7 @@
#' @param kr Kurtosis, in the same periodicity as the returns(non-annualized).
#' To be given in case the return series is not given.
#' @param n track record length. To be given in case the return series is not given.
+#' @param \dots any other passthru variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{PsrPortfolio}} \code{\link{table.PSR}} \code{\link{MinTrackRecord}}
#' @references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REDDCOPS.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -27,8 +27,11 @@
#'else the return series will be used
#'@param Rf risk free rate can be vector such as government security rate of return.
#'@param h Look back period
-#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
-#'@param ... any other variable
+#'@param geometric geometric utilize geometric chaining (TRUE) or simple/arithmetic
+#'chaining(FALSE) to aggregate returns, default is TRUE.
+#'@param \dots any other variable
+#'@param asset The number of risky assets in the portfolio
+#'@param type The type of portfolio optimization
#'
#'@author Pulkit Mehrotra
#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
@@ -57,7 +60,7 @@
#'@export
#'
-REDDCOPS<-function(R ,delta,Rf,h,geometric = TRUE,asset = c("one","two","three"),type=c("calibrated","risk-based"),...){
+REDDCOPS<-function(R ,delta,Rf,h,geometric = TRUE,asset = c("one","two","three"),type=c("calibrated","risk-based"),sharpe = 0,...){
# DESCRIPTION
# Calculates the dynamic weights for single and double risky asset portfolios
# using Rolling Economic Drawdown
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/REM.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -18,7 +18,7 @@
#'@param R R an xts, vector, matrix, data frame, timeseries, or zoo object of asset return.
#'@param Rf risk free rate can be vector such as government security rate of return.
#'@param h Look back period
-#'@param geomtric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
+#'@param geometric geometric utilize geometric chaining (TRUE) or simple/arithmetic #'chaining(FALSE) to aggregate returns, default is TRUE.
#'@param ... any other variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{chart.REDD}} \code{\link{EconomicDrawdown}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/SRIndifferenceCurve.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -2,7 +2,7 @@
#'Sharpe Ratio Indifference Curve
#'
#'@description
-#'The trade-off between a candidate’s SR and its correlation
+#'The trade-off between a candidate's SR and its correlation
#'to the existing set of strategies, is given by the Sharpe
#'ratio indifference curve. It is a plot between the candidate's
#'Sharpe Ratio and candidate's average correlation for a given
@@ -28,11 +28,12 @@
#'@param lwd set the width of the line, as in \code{\link{plot}}
#'@param pch set the pch value, as in \code{\link{plot}}
#'@param cex set the cex value, as in \code{\link{plot}}
+#'@param cex.lab set the cex.lab value, as in \code{\link{plot}}
#'@param cex.axis set the cex.axis value, as in \code{\link{plot}}
#'@param cex.main set the cex.main value, as in \code{\link{plot}}
#'@param ylim set the ylim value, as in \code{\link{plot}}
#'@param xlim set the xlim value, as in \code{\link{plot}}
-#'
+#'@param \dots Any other passthru variable
#'@author Pulkit Mehrotra
#'@references
#'Bailey, David H. and Lopez de Prado, Marcos, The Strategy Approval Decision:
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -26,9 +26,10 @@
#' @param R return series
#' @param confidence the confidence interval
#' @param type The type of distribution "normal" or "ar"."ar" stands for Autoregressive.
+#' @param \dots Any other passthru variable
#' @author Pulkit Mehrotra
#' @seealso \code{\link{chart.Penance}} \code{\link{MaxDD}} \code{\link{table.Penance}}
-#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#'
#' @examples
#' data(edhec)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.Penance.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -28,9 +28,10 @@
#'@param cex set the cex value, as in \code{\link{plot}}
#'@param cex.axis set the cex.axis value, as in \code{\link{plot}}
#'@param cex.main set the cex.main value, as in \code{\link{plot}}
+#'@param cex.lab set the cex.lab value, as in \code{\link{plot}}
#'@param ylim set the ylim value, as in \code{\link{plot}}
#'@param xlim set the xlim value, as in \code{\link{plot}}
-#'
+#'@param \dots Any other pass thru variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{plot}} \code{\link{table.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
#'@keywords ts multivariate distribution models hplot
@@ -38,7 +39,7 @@
#'data(edhec)
#'chart.Penance(edhec,0.95)
#'
-#'@references Bailey, David H. and Lopez de Prado, Marcos,Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+#'@references Bailey, David H. and Lopez de Prado, Marcos,Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#'
#'@export
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/chart.REDD.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -6,7 +6,7 @@
#' For more details on rolling economic drawdown see \code{rollDrawdown}.
#'
#'@param R an xts, vector, matrix, data frame, timeseries, or zoo object of asset return.
-#'@param Rf risk free rate can be vector such as government security rate of return
+#'@param rf risk free rate can be vector such as government security rate of return
#'@param h lookback period
#'@param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining(FALSE) to aggregate returns, default is TRUE.
#'@param legend.loc set the legend.loc, as in \code{\link{plot}}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.PSR.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -10,9 +10,9 @@
#'@param R the return series
#'@param Rf the risk free rate of return
#'@param refSR the reference Sharpe Ratio
-#'@param the confidence level
+#'@param p the confidence level
#'@param weights the weights for the portfolio
-#'
+#'@param \dots Any other passthru variable
#'@author Pulkit Mehrotra
#'@seealso \code{\link{ProbSharpeRatio}} \code{\link{PsrPortfolio}} \code{\link{MinTrackRecord}}
#'@references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R 2013-08-26 18:48:50 UTC (rev 2896)
@@ -11,7 +11,7 @@
#'
#' @author Pulkit Mehrotra
#' @seealso \code{\link{chart.Penance}} \code{\link{MaxDD}} \code{\link{TuW}}
-#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+#' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
#' @export
table.Penance<-function(R,confidence){
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/BetaDrawdown.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -2,7 +2,7 @@
\alias{BetaDrawdown}
\title{Drawdown Beta for single path}
\usage{
- BetaDrawdown(R, Rm, h = 0, p = 0.95, weights = NULL,
+ BetaDrawdown(R, Rm, p = 0.95, weights = NULL,
geometric = TRUE, type = c("alpha", "average", "max"),
...)
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/CdarMultiPath.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -11,11 +11,8 @@
\item{ps}{the probability for each sample path}
- \item{scen}{the number of scenarios in the Return series}
+ \item{sample}{the number of samples in the Return series}
- \item{instr}{the number of instruments in the Return
- series}
-
\item{geometric}{utilize geometric chaining (TRUE) or
simple/arithmetic chaining (FALSE) to aggregate returns,
default TRUE}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EDDCOPS.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -16,9 +16,7 @@
\item{Rf}{risk free rate can be vector such as government
security rate of return.}
- \item{h}{Look back period}
-
- \item{geomtric}{geometric utilize geometric chaining
+ \item{geometric}{geometric utilize geometric chaining
(TRUE) or simple/arithmetic #'chaining(FALSE) to
aggregate returns, default is TRUE.}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/EconomicDrawdown.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -28,8 +28,7 @@
\deqn{EDD(t)=1-\frac{W_t}/{EM(t)}}
- Here EM stands for Economic Max and is the code
- \code{\link{EconomicMax}}
+ Here EM stands for Economic Max.
}
\examples{
data(edhec)
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MaxDD.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -11,6 +11,8 @@
\item{type}{The type of distribution "normal" or
"ar"."ar" stands for Autoregressive.}
+
+ \item{\dots}{any other passthru variable}
}
\description{
\code{MaxDD} calculates the Maximum drawdown for a
@@ -70,7 +72,7 @@
}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
- Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
\seealso{
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MinTrackRecord.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -31,9 +31,11 @@
\item{kr}{Kurtosis, in the same periodicity as the
returns(non-annualized). To be given in case the return
series is not given.}
+
+ \item{\dots}{any other passthru variable}
}
\description{
- Minimum Track Record Length tells us “How long should a
+ Minimum Track Record Length tells us "How long should a
track record be in order to have statistical confidence
that its Sharpe ratio is above a given threshold? ". If a
track record is shorter than MinTRL, we do not have
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MonteSimulTriplePenance.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -43,7 +43,7 @@
}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
- Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/MultiBetaDrawdown.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -2,7 +2,7 @@
\alias{MultiBetaDrawdown}
\title{Drawdown Beta for Multiple path}
\usage{
- MultiBetaDrawdown(R, Rm, sample, ps, h = 0, p = 0.95,
+ MultiBetaDrawdown(R, Rm, sample, ps, p = 0.95,
weights = NULL, geometric = TRUE,
type = c("alpha", "average", "max"), ...)
}
@@ -14,9 +14,14 @@
vector, matrix, data frame, timeSeries or zoo object of
asset returns}
+ \item{sample}{The number of sample paths in the return
+ series}
+
\item{p}{confidence level for calculation
,default(p=0.95)}
+ \item{ps}{The probability for each sample path}
+
\item{weights}{portfolio weighting vector, default NULL,
see Details}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/ProbSharpeRatio.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -35,6 +35,8 @@
\item{n}{track record length. To be given in case the
return series is not given.}
+
+ \item{\dots}{any other passthru variable}
}
\description{
Given a predefined benchmark Sharpe ratio ,the observed
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/REDDCOPS.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -4,7 +4,7 @@
\usage{
REDDCOPS(R, delta, Rf, h, geometric = TRUE,
asset = c("one", "two", "three"),
- type = c("calibrated", "risk-based"), ...)
+ type = c("calibrated", "risk-based"), sharpe = 0, ...)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -20,11 +20,15 @@
\item{h}{Look back period}
- \item{geomtric}{geometric utilize geometric chaining
- (TRUE) or simple/arithmetic #'chaining(FALSE) to
- aggregate returns, default is TRUE.}
+ \item{geometric}{geometric utilize geometric chaining
+ (TRUE) or simple/arithmetic chaining(FALSE) to aggregate
+ returns, default is TRUE.}
- \item{...}{any other variable}
+ \item{\dots}{any other variable}
+
+ \item{asset}{The number of risky assets in the portfolio}
+
+ \item{type}{The type of portfolio optimization}
}
\description{
The Rolling Economic Drawdown Controlled Optimal
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/TuW.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -11,6 +11,8 @@
\item{type}{The type of distribution "normal" or
"ar"."ar" stands for Autoregressive.}
+
+ \item{\dots}{Any other passthru variable}
}
\description{
\code{TriplePenance} calculates the maximum Maximum Time
@@ -53,7 +55,7 @@
}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
- Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
\seealso{
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.BenchmarkSR.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -38,12 +38,17 @@
\item{cex.main}{set the cex.main value, as in
\code{\link{plot}}}
+ \item{cex.lab}{set the cex.lab value, as in
+ \code{\link{plot}}}
+
\item{vs}{The values against which benchmark SR has to be
plotted. can be "sharpe","correlation" or "strategies"}
\item{ylim}{set the ylim value, as in \code{\link{plot}}}
\item{xlim}{set the xlim value, as in \code{\link{plot}}}
+
+ \item{\dots}{any other passthru variable}
}
\description{
Benchmark Sharpe Ratio Plots are used to give the
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.Penance.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -45,9 +45,14 @@
\item{cex.main}{set the cex.main value, as in
\code{\link{plot}}}
+ \item{cex.lab}{set the cex.lab value, as in
+ \code{\link{plot}}}
+
\item{ylim}{set the ylim value, as in \code{\link{plot}}}
\item{xlim}{set the xlim value, as in \code{\link{plot}}}
+
+ \item{\dots}{Any other pass thru variable}
}
\description{
A plot for Penance vs phi for the given portfolio The
@@ -73,7 +78,7 @@
}
\references{
Bailey, David H. and Lopez de Prado,
- Marcos,Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Marcos,Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
\seealso{
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/chart.SRIndifference.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -35,6 +35,9 @@
\item{cex}{set the cex value, as in \code{\link{plot}}}
+ \item{cex.lab}{set the cex.lab value, as in
+ \code{\link{plot}}}
+
\item{cex.axis}{set the cex.axis value, as in
\code{\link{plot}}}
@@ -44,9 +47,11 @@
\item{ylim}{set the ylim value, as in \code{\link{plot}}}
\item{xlim}{set the xlim value, as in \code{\link{plot}}}
+
+ \item{\dots}{Any other passthru variable}
}
\description{
- The trade-off between a candidate’s SR and its
+ The trade-off between a candidate's SR and its
correlation to the existing set of strategies, is given
by the Sharpe ratio indifference curve. It is a plot
between the candidate's Sharpe Ratio and candidate's
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/golden_section.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -13,6 +13,8 @@
calculate the Maximum}
\item{function_name}{The name of the function}
+
+ \item{\dots}{any other passthru variable}
}
\description{
The Golden Section Search method is used to find the
@@ -42,7 +44,7 @@
}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
- Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/rollEconomicMax.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -13,7 +13,7 @@
\item{h}{Look back period}
- \item{geomtric}{geometric utilize geometric chaining
+ \item{geometric}{geometric utilize geometric chaining
(TRUE) or simple/arithmetic #'chaining(FALSE) to
aggregate returns, default is TRUE.}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/table.PSR.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/table.PSR.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/table.PSR.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -12,9 +12,11 @@
\item{refSR}{the reference Sharpe Ratio}
- \item{the}{confidence level}
+ \item{p}{the confidence level}
\item{weights}{the weights for the portfolio}
+
+ \item{\dots}{Any other passthru variable}
}
\description{
A table to display the Probabilistic Sharpe Ratio Along
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/man/table.Penance.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/man/table.Penance.Rd 2013-08-26 18:32:27 UTC (rev 2895)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/man/table.Penance.Rd 2013-08-26 18:48:50 UTC (rev 2896)
@@ -21,7 +21,7 @@
}
\references{
Bailey, David H. and Lopez de Prado, Marcos,
- Drawdown-Based Stop-Outs and the ‘Triple Penance’
+ Drawdown-Based Stop-Outs and the "Triple Penance"
Rule(January 1, 2013).
}
\seealso{
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