[Returnanalytics-commits] r2643 - pkg/PerformanceAnalytics/sandbox/pulkit/week5
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jul 25 18:56:45 CEST 2013
Author: pulkit
Date: 2013-07-25 18:56:45 +0200 (Thu, 25 Jul 2013)
New Revision: 2643
Added:
pkg/PerformanceAnalytics/sandbox/pulkit/week5/returns.csv
Modified:
pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
pkg/PerformanceAnalytics/sandbox/pulkit/week5/REM.R
pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R
Log:
added data file for testing redd cops
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R 2013-07-25 08:40:55 UTC (rev 2642)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REDDCOPS.R 2013-07-25 16:56:45 UTC (rev 2643)
@@ -34,6 +34,12 @@
#'
#'
#'@examples
+#'
+#' # with S&P 500 data and T-bill data
+#'
+#'dt<-read.zoo("returns.csv",sep=",",header = TRUE)
+#'REDDCOPS(dt[,1],delta = 0.33,Rf = (1+dt[,2])^(1/12)-1,h = 12,geometric = TRUE,asset = "one")
+#'
#'data(edhec)
#'REDDCOPS(edhec,delta = 0.1,Rf = 0,h = 40)
#'data(managers)
@@ -70,6 +76,7 @@
if(type == "calibrated"){
if(asset == "one"){
factor = (sharpe[,column]/sd[,column]+0.5)/(1-delta^2)
+ print(factor)
xt = ifelse(factor*(delta-x)/(1-x)>0,factor*(delta-x)/(1-x),0)
print(sd[,column])
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/REM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/REM.R 2013-07-25 08:40:55 UTC (rev 2642)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/REM.R 2013-07-25 16:56:45 UTC (rev 2643)
@@ -52,7 +52,7 @@
}
else{
prodRf = prod(1+rf)
- REM = max(Return.cumulative*prodRf)
+ REM = max(Return.cumulative*as.numeric(last(prodRf)/prodRf))
}
result = REM
}
Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R 2013-07-25 08:40:55 UTC (rev 2642)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/redd.R 2013-07-25 16:56:45 UTC (rev 2643)
@@ -45,23 +45,25 @@
stop("The number of rows of the returns and the risk free rate do not match")
}
- REDD<-function(x,geometric){
+ REDD<-function(xh,geometric){
if(geometric)
- Return.cumulative = cumprod(1+x)
- else Return.cumulative = 1 + cumsum(x)
+ Return.cumulative = cumprod(1+xh)
+ else Return.cumulative = 1 + cumsum(xh)
l = length(Return.cumulative)
if(nr == 1){
REM = max(Return.cumulative*(1+rf)^(l-c(1:l)))
}
else{
- prodRf = prod(1+rf)
- REM = max(Return.cumulative*prodRf)
+ rf = rf[index(xh)]
+ prodRf = cumprod(1+rf)
+ REM = max(Return.cumulative*as.numeric(last(prodRf)/prodRf))
}
- result = 1 - Return.cumulative[l]/REM
+ #as.numeric(first(prodRf[index(xh[which(xh==max(xh))])]))
+ result = 1 - last(Return.cumulative)/REM
}
for(column in 1:columns){
- column.drawdown <- rollapplyr(x[,column],width = h, FUN = REDD, geometric = geometric)
+ column.drawdown <- apply.rolling(x[,column],width = h, FUN = REDD, geometric = geometric)
if(column == 1)
rolldrawdown = column.drawdown
else rolldrawdown = merge(rolldrawdown, column.drawdown)
Added: pkg/PerformanceAnalytics/sandbox/pulkit/week5/returns.csv
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week5/returns.csv (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week5/returns.csv 2013-07-25 16:56:45 UTC (rev 2643)
@@ -0,0 +1,697 @@
+"Index","S&P","3-month,T-bill"
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