[Returnanalytics-commits] r2536 - pkg/PerformanceAnalytics/sandbox/pulkit/week3/code

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

Author: pulkit
Date: 2013-07-10 16:05:20 +0200 (Wed, 10 Jul 2013)
New Revision: 2536

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/MonteSimulTriplePenance.R
Log:
Monte Carlo Simulation for Triple Penance Rule

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/MonteSimulTriplePenance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/MonteSimulTriplePenance.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week3/code/MonteSimulTriplePenance.R	2013-07-10 14:05:20 UTC (rev 2536)
@@ -0,0 +1,34 @@
+#' @title
+#' Monte Carlo Simulation for the Triple Penance Rule
+#'
+#' @param R Hedge Fund log Returns
+#' 
+#' @reference Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the ‘Triple Penance’ Rule(January 1, 2013).
+
+
+ 
+monte_simul<-function(size){
+    
+  phi = 0.5
+  mu = 1
+  sigma = 2 
+  dp0 = 1
+  bets = 25
+  confidence = 0.95
+  
+  q_value = getQ(bets, phi, mu, sigma, dp0, confidence)
+  ms = NULL
+  
+  for(i in 1:size){
+    ms[i] = sum((1-phi)*mu + rnorm(bets)*sigma + delta*phi)
+  }
+  q_ms = quantile(ms,(1-confidence)*100)
+  diff = q_value - q_ms 
+
+  print(q_value)
+  print(q_ms)
+  print(q_value - q_ms)
+}
+
+
+