[Returnanalytics-commits] r2401 - pkg/PerformanceAnalytics/sandbox/pulkit

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

Author: pulkit
Date: 2013-06-22 07:37:23 +0200 (Sat, 22 Jun 2013)
New Revision: 2401

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/MinTRL.R
   pkg/PerformanceAnalytics/sandbox/pulkit/ProbSharpeRatio.R
Log:
Added Documentation

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/MinTRL.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/MinTRL.R	2013-06-22 03:44:42 UTC (rev 2400)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/MinTRL.R	2013-06-22 05:37:23 UTC (rev 2401)
@@ -1,15 +1,30 @@
-#'@title Probabilistic Sharpe Ratio
+#'@title Minimum Track Record Length
+#'
 #'@description
-#'Given a predefined
-#'benchmark4 Sharpe ratio (), the observed Sharpe  Ratiô can be expressed
-#' in probabilistic
+#'“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 ̂ is above the designated threshold
 #'
+#'@aliases MinTrackRecord
+#'
 #'@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 sr Sharpe Ratio
+#'@param sk Skewness
+#'@param kr Kurtosis
+#'
+#'@reference Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio 
+#'Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
+#' 2012/13
+#'@keywords ts multivariate distribution models
+#'@examples
+#'
+#'data(edhec)
+#'MinTrackRecord(edhec[,1],0.20)
 
+
 MinTrackRecord<-function(R = NULL, refSR,Rf=0,p = 0.95, weights = NULL,sr = NULL,sk = NULL, kr = NULL, ...){
     columns = 1
     columnnames = NULL

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/ProbSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/ProbSharpeRatio.R	2013-06-22 03:44:42 UTC (rev 2400)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/ProbSharpeRatio.R	2013-06-22 05:37:23 UTC (rev 2401)
@@ -1,15 +1,35 @@
 #'@title Probabilistic Sharpe Ratio
+#'
 #'@description
-#'Given a predefined
-#'benchmark4 Sharpe ratio (), the observed Sharpe  Ratiô can be expressed
-#' in probabilistic
+#'Given a predefined benchmark Sharpe ratio ,the observed Sharpe Ratio 
+#'can be expressed in probabilistic terms known as the Probabilistic Sharpe Ratio
+#'PSR takes higher moments  into account and delivers a corrected, atemporal 
+#'measure of performance expressed in terms of probability of skill.
 #'
+#'@aliases ProbSharpeRatio
+#'
 #'@param R the return series
 #'@param Rf the risk free rate of return
 #'@param refSR the reference Sharpe Ratio
 #'@param the confidence level
 #'@param weights the weights for the portfolio
+#'@param sr Sharpe Ratio
+#'@param sk Skewness
+#'@param kr Kurtosis
+#'
+#'@references Bailey, David H. and Lopez de Prado, Marcos, \emph{The Sharpe Ratio 
+#'Efficient Frontier} (July 1, 2012). Journal of Risk, Vol. 15, No. 2, Winter
+#' 2012/13
+#'
+#'@keywords ts multivariate distribution models
+#'
+#'@examples
+#'
+#'data(edhec)
+#'ProbSharpeRatio(edhec[,1],refSR = 0.28) 
+#'ProbSharpeRatio(edhec,reSR = 0.28,Rf = 0.06)
 
+
 ProbSharpeRatio<-
 function(R = NULL, refSR,Rf=0,p = 0.95, weights = NULL,n = NULL,sr = NULL,sk = NULL, kr = NULL, ...){
     columns = 1