[Returnanalytics-commits] r2443 - in pkg/PerformanceAnalytics/sandbox/pulkit: week1/vignette week2/code

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

Author: pulkit
Date: 2013-06-26 16:54:05 +0200 (Wed, 26 Jun 2013)
New Revision: 2443

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/week1/vignette/ProbSharpe.Rnw
   pkg/PerformanceAnalytics/sandbox/pulkit/week2/code/BenchmarkSR.R
Log:
Added vignette for Benchmark SR

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week1/vignette/ProbSharpe.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week1/vignette/ProbSharpe.Rnw	2013-06-26 12:40:38 UTC (rev 2442)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week1/vignette/ProbSharpe.Rnw	2013-06-26 14:54:05 UTC (rev 2443)
@@ -33,6 +33,7 @@
 
 <<echo = FALSE >>=
 library(PerformanceAnalytics)
+data(edhec)
 @
 
 

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/week2/code/BenchmarkSR.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week2/code/BenchmarkSR.R	2013-06-26 12:40:38 UTC (rev 2442)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week2/code/BenchmarkSR.R	2013-06-26 14:54:05 UTC (rev 2443)
@@ -13,21 +13,30 @@
 #'@param R a vector, matrix, data frame,timeseries or zoo object of asset returns
 #'
 #'@references
+#'Bailey, David H. and Lopez de Prado, Marcos, The Strategy Approval Decision: 
+#'A Sharpe Ratio Indifference Curve Approach (January 2013). Algorithmic Finance, 
+#'Vol. 2, No. 1 (2013).
 #'
+#'@examples
+#'
+#'data(edhec)
+#'BenchmarkSR(edhec) #expected 0.2019308
+#'
 #'@export
+#'
 BenchmanrkSR<-function(R){
-  
   x = checkData(R)
   columns = ncol(x)
   SR = SharpeRatio(x)
   sr_avg = mean(SR)
   corr = table.Correlation(edhec,edhec)
   corr_avg = 0
-  for(i in 1:columns){
-    for(j in i:columns){
+  for(i in 1:(columns-1)){
+    for(j in (i+1):columns){
       corr_avg = corr_avg + corr[(i-1)*columns+j,]
     }
   }
+  corr_avg = corr_avg*2/(columns*(columns-1))
   SR_Benchmark = sr_avg*sqrt(columns/(1+(columns-1))*corr_avg[1,1])
   return(SR_Benchmark)
 }
\ No newline at end of file