[Returnanalytics-commits] r2490 - pkg/PerformanceAnalytics/sandbox/Shubhankit

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

Author: shubhanm
Date: 2013-07-02 23:37:18 +0200 (Tue, 02 Jul 2013)
New Revision: 2490

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/table.UnsoothReturn.R
Log:
Code for table of Unsmooth Returns  (Getmansky, et. al. (2004) table A.4)
Stage: Debugging
Showing errors for columns >  1

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/table.UnsoothReturn.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/table.UnsoothReturn.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/table.UnsoothReturn.R	2013-07-02 21:37:18 UTC (rev 2490)
@@ -0,0 +1,81 @@
+#' Compenent Decomposition of Table of Unsmooth Returns
+#' 
+#' Creates a table of estimates of moving averages for comparison across
+#' multiple instruments or funds as well as their standard error and
+#' smoothing index
+#' 
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param ci confidence interval, defaults to 95\%
+#' @param n number of series lags
+#' @param p confidence level for calculation, default p=.99
+#' @param digits number of digits to round results to
+#' @author R
+#' @keywords ts smooth return models
+#'
+#' @export 
+table.UnsmoothReturn <-
+  function (R, n = 3, p= 0.95, digits = 4)
+  {# @author 
+    
+    # DESCRIPTION:
+    # Downside Risk Summary: Statistics and Stylized Facts
+    
+    # Inputs:
+    # R: a regular timeseries of returns (rather than prices)
+    # n : Number of lags
+    # p = Confifence Level
+    # Output:
+    # A table of estimates of Moving Average
+    
+    y = checkData(R, method = "zoo")
+    columns = ncol(y)
+    rows = nrow(y)
+    columnnames = colnames(y)
+    rownames = rownames(y)
+    
+    # for each column, do the following:
+    for(column in 1:columns) {
+      x = na.omit(y[,column,drop=FALSE])
+      
+      z = c(
+        arma(x,0,2)$theta[1],
+        arma(x,0,2)$se.theta[1],
+        arma(x,0,2)$theta[2],
+        arma(x,0,2)$se.theta[2],
+        (arma(x,0,2)$theta*arma(x,0,2)$theta)
+      )
+      znames = c(
+        "Moving Average(1)",
+        "Std Error of MA(1)",
+        "Moving Average(2)",
+        "Std Error of MA(2)",
+        "Smoothing Invest"
+        
+      )
+      if(column == 1) {
+        resultingtable = data.frame(Value = z, row.names = znames)
+      }
+      else {
+        nextcolumn = data.frame(Value = z, row.names = znames)
+        resultingtable = cbind(resultingtable, nextcolumn)
+      }
+    }
+    colnames(resultingtable) = columnnames
+    ans = base::round(resultingtable, digits)
+    ans
+
+    
+}
+
+###############################################################################
+# R (http://r-project.org/) 
+#
+# Copyright (c) 2004-2013 
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: table.UnSmoothReturn.R 
+#
+###############################################################################