[Returnanalytics-commits] r3049 - pkg/PerformanceAnalytics/sandbox/pulkit/R

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

Author: pulkit
Date: 2013-09-11 00:14:53 +0200 (Wed, 11 Sep 2013)
New Revision: 3049

Modified:
   pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
   pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
Log:
na handling in Triple penance

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R	2013-09-10 20:23:51 UTC (rev 3048)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/MaxDD.R	2013-09-10 22:14:53 UTC (rev 3049)
@@ -65,7 +65,6 @@
   
   # FUNCTION:
   x = checkData(R)
-  x = na.omit(x) 
   if(ncol(x)==1 || is.null(R) || is.vector(R)){
     calcul = FALSE
     for(i in (1:length(x))){

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R	2013-09-10 20:23:51 UTC (rev 3048)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TriplePenance.R	2013-09-10 22:14:53 UTC (rev 3049)
@@ -58,6 +58,7 @@
     #
     # confidence: The confidence interval.
     x = checkData(R)
+    x = na.omit(x)
     mu = mean(x, na.rm = TRUE)
     sigma_infinity = StdDev(x)
     phi = cov(x[-1],x[-length(x)])/(cov(x[-length(x)]))
@@ -79,6 +80,7 @@
     }
     if(mu<0){
         warning(paste("NaN produced because mu < 0 ",colnames(x)))
+
     }
         minQ = list(value=NaN,x=NaN)
     }
@@ -124,6 +126,7 @@
 
 
     x = checkData(R)
+    x = na.omit(x)
     mu = mean(x, na.rm = TRUE)
     sigma_infinity = StdDev(x)
     phi = cov(x[-1],x[-length(x)])/(cov(x[-length(x)]))

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R	2013-09-10 20:23:51 UTC (rev 3048)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/TuW.R	2013-09-10 22:14:53 UTC (rev 3049)
@@ -39,7 +39,6 @@
 
 TuW<-function(R,confidence=0.95,type=c("ar","normal"),...){
   x = checkData(R)
-  x = na.omit(x)
   if(ncol(x)==1 || is.null(R) || is.vector(R)){ 
     calcul = FALSE
     for(i in (1:length(x))){

Modified: pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R	2013-09-10 20:23:51 UTC (rev 3048)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/R/table.Penance.R	2013-09-10 22:14:53 UTC (rev 3049)
@@ -14,7 +14,7 @@
 #' @references Bailey, David H. and Lopez de Prado, Marcos, Drawdown-Based Stop-Outs and the "Triple Penance" Rule(January 1, 2013).
 #' @export
 
-table.Penance<-function(R,confidence){
+table.Penance<-function(R,confidence=0.95){
   # DESCRIPTION:
   # Maximum Drawdown and Time under Water considering first-order serial correlation
   # 
@@ -26,15 +26,15 @@
   #
   # Function:
   x = checkData(R)
-  x = na.omit(x)
   columns = ncol(x) 
   columnnames = colnames(x)
   rownames = c("mean","stdDev","phi","sigma","MaxDD(in %)","t*","MaxTuW","Penance")
   for(column in 1:columns){
-    phi = cov(x[,column][-1],x[,column][-length(x[,column])])/(cov(x[,column][-length(x[,column])]))
-    sigma_infinity = StdDev(x[,column])
+    col_val = na.omit(x[,column])
+    phi = cov(col_val[-1],col_val[-length(col_val)])/(cov(col_val[-length(col_val)]))
+    sigma_infinity = StdDev(col_val)
     sigma = sigma_infinity*((1-phi^2)^0.5)
-    column_MinQ<-c(mean(x[,column]),sigma_infinity,phi,sigma)
+    column_MinQ<-c(mean(col_val),sigma_infinity,phi,sigma)
     column_MinQ <- c(column_MinQ,get_minq(x[,column],confidence))
     column_TuW = get_TuW(x[,column],confidence)
     v = c(column_MinQ,column_TuW,column_MinQ[5]/column_TuW)