[Returnanalytics-commits] r3051 - in pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Sep 11 01:57:44 CEST 2013
Author: shubhanm
Date: 2013-09-11 01:57:44 +0200 (Wed, 11 Sep 2013)
New Revision: 3051
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
Log:
Output format change,+ addition of examples
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE 2013-09-10 23:24:02 UTC (rev 3050)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE 2013-09-10 23:57:44 UTC (rev 3051)
@@ -3,7 +3,7 @@
export(CDrawdown)
export(chart.AcarSim)
export(chart.Autocorrelation)
-export(EMaxDDGBM)
+export(EmaxDDGBM)
export(GLMSmoothIndex)
export(LoSharpe)
export(QP.Norm)
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R 2013-09-10 23:24:02 UTC (rev 3050)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R 2013-09-10 23:57:44 UTC (rev 3051)
@@ -1,17 +1,31 @@
-#' Expected Drawdown using Brownian Motion Assumptions
+#' @title Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility
#'
-#' Works on the model specified by Maddon-Ismail
-#'
-#'
-#'
-#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
-#' asset returns
+#' @title Expected Maximum Drawdown Using Brownian Motion Assumptions
+#' @description Works on the model specified by Maddon-Ismail which investigates the behavior of this statistic for a Brownian motion
+#' with drift.
+#' @details If X(t) is a random process on [0, T ], the maximum drawdown at time T , D(T), is defined by
+#' where \deqn{D(T) = sup [X(s) - X(t)]} where s belongs to [0,t] and s belongs to [0,T]
+#'Informally, this is the largest drop from a peak to a bottom. In this paper, we investigate the
+#'behavior of this statistic for a Brownian motion with drift. In particular, we give an infinite
+#'series representation of its distribution, and consider its expected value. When the drift is zero,
+#'we give an analytic expression for the expected value, and for non-zero drift, we give an infinite
+#'series representation. For all cases, we compute the limiting \bold{(\eqn{T tends to \infty})} behavior, which can be
+#'logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0), or linear (\eqn{\mu} < 0).
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
#' @param digits significant number
-#' @author Shubhankit
+#' @author Shubhankit Mohan
#' @keywords Expected Drawdown Using Brownian Motion Assumptions
-#'
+#' @references Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S. Abu-Mostafa: On the Maximum Drawdown of a Browninan Motion, Journal of Applied Probability 41, pp. 147-161, 2004 \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
+#' @keywords Drawdown models Brownian Motion Assumptions
+#' @examples
+#'
+#'library(PerformanceAnalytics)
+#' data(edhec)
+#' EmaxDDGBM(edhec)
+#' @rdname EMaxDDGBM
+#' @export
#' @export
-EMaxDDGBM <-
+EmaxDDGBM <-
function (R,digits =4)
{# @author
@@ -153,13 +167,26 @@
Ed<-(2*sig^2/mu)*(-Qn)
}
-
}
- return(Ed[1]*100)
+ z = c((Ed*100))
+ znames = c("Expected Drawdown in % using Brownian Motion Assumptions")
+ if(column == 1) {
+ resultingtable = data.frame(Value = z, row.names = znames)
+ }
+ else {
+ nextcolumn = data.frame(Value = z, row.names = znames)
+ resultingtable = cbind(resultingtable, nextcolumn)
+ }
+ }
+ colnames(resultingtable) = columnnames
+ ans = base::round(resultingtable, digits)
+ ans
+
- }
+
+
}
###############################################################################
# R (http://r-project.org/)
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R 2013-09-10 23:24:02 UTC (rev 3050)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R 2013-09-10 23:57:44 UTC (rev 3051)
@@ -1,4 +1,4 @@
-#' @title Expected Drawdown using Brownian Motion Assumptions
+#' @title Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility
#'
#' @description Works on the model specified by Maddon-Ismail which investigates the behavior of this statistic for a Brownian motion
#' with drift.
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd 2013-09-10 23:24:02 UTC (rev 3050)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd 2013-09-10 23:57:44 UTC (rev 3051)
@@ -1,8 +1,8 @@
-\name{EMaxDDGBM}
-\alias{EMaxDDGBM}
-\title{Expected Drawdown using Brownian Motion Assumptions}
+\name{EmaxDDGBM}
+\alias{EmaxDDGBM}
+\title{Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility}
\usage{
- EMaxDDGBM(R, digits = 4)
+ EmaxDDGBM(R, digits = 4)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -11,15 +11,47 @@
\item{digits}{significant number}
}
\description{
- Works on the model specified by Maddon-Ismail
+ Works on the model specified by Maddon-Ismail which
+ investigates the behavior of this statistic for a
+ Brownian motion with drift.
}
+\details{
+ If X(t) is a random process on [0, T ], the maximum
+ drawdown at time T , D(T), is defined by where \deqn{D(T)
+ = sup [X(s) - X(t)]} where s belongs to [0,t] and s
+ belongs to [0,T] Informally, this is the largest drop
+ from a peak to a bottom. In this paper, we investigate
+ the behavior of this statistic for a Brownian motion with
+ drift. In particular, we give an infinite series
+ representation of its distribution, and consider its
+ expected value. When the drift is zero, we give an
+ analytic expression for the expected value, and for
+ non-zero drift, we give an infinite series
+ representation. For all cases, we compute the limiting
+ \bold{(\eqn{T tends to \infty})} behavior, which can be
+ logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0),
+ or linear (\eqn{\mu} < 0).
+}
+\examples{
+library(PerformanceAnalytics)
+data(edhec)
+EmaxDDGBM(edhec)
+}
\author{
- Shubhankit
+ Shubhankit Mohan
}
+\references{
+ Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S.
+ Abu-Mostafa: On the Maximum Drawdown of a Browninan
+ Motion, Journal of Applied Probability 41, pp. 147-161,
+ 2004
+ \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
+}
\keyword{Assumptions}
\keyword{Brownian}
\keyword{Drawdown}
\keyword{Expected}
+\keyword{models}
\keyword{Motion}
\keyword{Using}
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-10 23:24:02 UTC (rev 3050)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-10 23:57:44 UTC (rev 3051)
@@ -1,57 +1,57 @@
-\name{table.EMaxDDGBM}
-\alias{table.EMaxDDGBM}
-\title{Expected Drawdown using Brownian Motion Assumptions}
-\usage{
- table.EMaxDDGBM(R, digits = 4)
-}
-\arguments{
- \item{R}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of asset returns}
-
- \item{digits}{significant number}
-}
-\description{
- Works on the model specified by Maddon-Ismail which
- investigates the behavior of this statistic for a
- Brownian motion with drift.
-}
-\details{
- If X(t) is a random process on [0, T ], the maximum
- drawdown at time T , D(T), is defined by where \deqn{D(T)
- = sup [X(s) - X(t)]} where s belongs to [0,t] and s
- belongs to [0,T] Informally, this is the largest drop
- from a peak to a bottom. In this paper, we investigate
- the behavior of this statistic for a Brownian motion with
- drift. In particular, we give an infinite series
- representation of its distribution, and consider its
- expected value. When the drift is zero, we give an
- analytic expression for the expected value, and for
- non-zero drift, we give an infinite series
- representation. For all cases, we compute the limiting
- \bold{(\eqn{T tends to \infty})} behavior, which can be
- logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0),
- or linear (\eqn{\mu} < 0).
-}
-\examples{
-library(PerformanceAnalytics)
-data(edhec)
-table.EMaxDDGBM(edhec)
-}
-\author{
- Shubhankit Mohan
-}
-\references{
- Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S.
- Abu-Mostafa: On the Maximum Drawdown of a Browninan
- Motion, Journal of Applied Probability 41, pp. 147-161,
- 2004
- \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
-}
-\keyword{Assumptions}
-\keyword{Brownian}
-\keyword{Drawdown}
-\keyword{Expected}
-\keyword{models}
-\keyword{Motion}
-\keyword{Using}
-
+\name{table.EMaxDDGBM}
+\alias{table.EMaxDDGBM}
+\title{Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility}
+\usage{
+ table.EMaxDDGBM(R, digits = 4)
+}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{digits}{significant number}
+}
+\description{
+ Works on the model specified by Maddon-Ismail which
+ investigates the behavior of this statistic for a
+ Brownian motion with drift.
+}
+\details{
+ If X(t) is a random process on [0, T ], the maximum
+ drawdown at time T , D(T), is defined by where \deqn{D(T)
+ = sup [X(s) - X(t)]} where s belongs to [0,t] and s
+ belongs to [0,T] Informally, this is the largest drop
+ from a peak to a bottom. In this paper, we investigate
+ the behavior of this statistic for a Brownian motion with
+ drift. In particular, we give an infinite series
+ representation of its distribution, and consider its
+ expected value. When the drift is zero, we give an
+ analytic expression for the expected value, and for
+ non-zero drift, we give an infinite series
+ representation. For all cases, we compute the limiting
+ \bold{(\eqn{T tends to \infty})} behavior, which can be
+ logarithmic (\eqn{\mu} > 0), square root (\eqn{\mu} = 0),
+ or linear (\eqn{\mu} < 0).
+}
+\examples{
+library(PerformanceAnalytics)
+data(edhec)
+table.EMaxDDGBM(edhec)
+}
+\author{
+ Shubhankit Mohan
+}
+\references{
+ Magdon-Ismail, M., Atiya, A., Pratap, A., and Yaser S.
+ Abu-Mostafa: On the Maximum Drawdown of a Browninan
+ Motion, Journal of Applied Probability 41, pp. 147-161,
+ 2004
+ \url{http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf}
+}
+\keyword{Assumptions}
+\keyword{Brownian}
+\keyword{Drawdown}
+\keyword{Expected}
+\keyword{models}
+\keyword{Motion}
+\keyword{Using}
+
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