[Returnanalytics-commits] r2561 - pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2

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

Author: shubhanm
Date: 2013-07-13 13:18:29 +0200 (Sat, 13 Jul 2013)
New Revision: 2561

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/CalmarRatio.Normalized.R
Log:
Additional Method for Calmar Ratio (Normalized) :  Reference Malik Magdon

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/CalmarRatio.Normalized.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/CalmarRatio.Normalized.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/Week2/CalmarRatio.Normalized.R	2013-07-13 11:18:29 UTC (rev 2561)
@@ -0,0 +1,138 @@
+#' calculate a Calmar or Sterling reward/risk ratio
+#'  
+#' Calmar and Sterling Ratios are yet another method of creating a
+#' risk-adjusted measure for ranking investments similar to the
+#' \code{\link{SharpeRatio}}.
+#' 
+#' Both the Calmar and the Sterling ratio are the ratio of annualized return
+#' over the absolute value of the maximum drawdown of an investment. The
+#' Sterling ratio adds an excess risk measure to the maximum drawdown,
+#' traditionally and defaulting to 10\%.
+#' 
+#' It is also traditional to use a three year return series for these
+#' calculations, although the functions included here make no effort to
+#' determine the length of your series.  If you want to use a subset of your
+#' series, you'll need to truncate or subset the input data to the desired
+#' length.
+#' 
+#' Many other measures have been proposed to do similar reward to risk ranking.
+#' It is the opinion of this author that newer measures such as Sortino's
+#' \code{\link{UpsidePotentialRatio}} or Favre's modified
+#' \code{\link{SharpeRatio}} are both \dQuote{better} measures, and
+#' should be preferred to the Calmar or Sterling Ratio.
+#' 
+#' @aliases CalmarRatio SterlingRatio
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param scale number of periods in a year (daily scale = 252, monthly scale =
+#' 12, quarterly scale = 4)
+#' @param excess for Sterling Ratio, excess amount to add to the max drawdown,
+#' traditionally and default .1 (10\%)
+#' @author Brian G. Peterson
+#' @seealso 
+#' \code{\link{Return.annualized}}, \cr 
+#' \code{\link{maxDrawdown}}, \cr
+#' \code{\link{SharpeRatio.modified}}, \cr 
+#' \code{\link{UpsidePotentialRatio}}
+#' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement
+#' and Attribution}. Wiley. 2004.
+#' @keywords ts multivariate distribution models
+#' @examples
+#' 
+#'     data(managers)
+#'     CalmarRatio(managers[,1,drop=FALSE])
+#'     CalmarRatio(managers[,1:6]) 
+#'     SterlingRatio(managers[,1,drop=FALSE])
+#'     SterlingRatio(managers[,1:6])
+#' 
+#' @export 
+#' @rdname CalmarRatio
+#' QP function fo calculation of Sharpe Ratio
+QP.Norm <- function (R, tau,scale = NA)
+{
+  Sharpe= as.numeric(SharpeRatio.annualized(edhec))
+return(.63519+(.5*log(tau))+log(Sharpe))
+}
+
+CalmarRatio.Normalized <- function (R, tau = 1,scale = NA)
+{ # @author Brian G. Peterson
+  
+  # DESCRIPTION:
+  # Inputs:
+  # Ra: in this case, the function anticipates having a return stream as input,
+  #    rather than prices.
+  # tau : scaled Time in Years
+  # scale: number of periods per year
+  # Outputs:
+  # This function returns a Calmar Ratio
+  
+  # FUNCTION:
+  
+  R = checkData(R)
+  if(is.na(scale)) {
+    freq = periodicity(R)
+    switch(freq$scale,
+           minute = {stop("Data periodicity too high")},
+           hourly = {stop("Data periodicity too high")},
+           daily = {scale = 252},
+           weekly = {scale = 52},
+           monthly = {scale = 12},
+           quarterly = {scale = 4},
+           yearly = {scale = 1}
+    )
+  }
+  Time = nyears(R)
+  annualized_return = Return.annualized(R, scale=scale)
+  drawdown = abs(maxDrawdown(R))
+  result = (annualized_return/drawdown)*(QP.Norm(R,Time)/QP.Norm(R,tau))*(tau/Time)
+  rownames(result) = "Calmar Ratio"
+  return(result)
+}
+
+#' @export 
+#' @rdname CalmarRatio
+SterlingRatio <-
+  function (R, scale=NA, excess=.1)
+  { # @author Brian G. Peterson
+    
+    # DESCRIPTION:
+    # Inputs:
+    # Ra: in this case, the function anticipates having a return stream as input,
+    #    rather than prices.
+    # scale: number of periods per year
+    # Outputs:
+    # This function returns a Sterling Ratio
+    
+    # FUNCTION:
+    
+    R = checkData(R)
+    if(is.na(scale)) {
+      freq = periodicity(R)
+      switch(freq$scale,
+             minute = {stop("Data periodicity too high")},
+             hourly = {stop("Data periodicity too high")},
+             daily = {scale = 252},
+             weekly = {scale = 52},
+             monthly = {scale = 12},
+             quarterly = {scale = 4},
+             yearly = {scale = 1}
+      )
+    }
+    annualized_return = Return.annualized(R, scale=scale)
+    drawdown = abs(maxDrawdown(R)+excess)
+    result = annualized_return/drawdown
+    rownames(result) = paste("Sterling Ratio (Excess = ", round(excess*100,0), "%)", sep="")
+    return(result)
+  }
+
+###############################################################################
+# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
+#
+# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
+#
+# This R package is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: CalmarRatio.R 1955 2012-05-23 16:38:16Z braverock $
+#
+###############################################################################