[Returnanalytics-commits] r3343 - pkg/PerformanceAnalytics/tests/Examples
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Feb 27 10:48:07 CET 2014
Author: braverock
Date: 2014-02-27 10:48:07 +0100 (Thu, 27 Feb 2014)
New Revision: 3343
Modified:
pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save
Log:
- update example output to account for Return.portfolio reversion
Modified: pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save
===================================================================
--- pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-02-26 22:19:38 UTC (rev 3342)
+++ pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-02-27 09:48:07 UTC (rev 3343)
@@ -20,6 +20,18 @@
> pkgname <- "PerformanceAnalytics"
> source(file.path(R.home("share"), "R", "examples-header.R"))
> options(warn = 1)
+> base::assign(".ExTimings", "PerformanceAnalytics-Ex.timings", pos = 'CheckExEnv')
+> base::cat("name\tuser\tsystem\telapsed\n", file=base::get(".ExTimings", pos = 'CheckExEnv'))
+> base::assign(".format_ptime",
++ function(x) {
++ if(!is.na(x[4L])) x[1L] <- x[1L] + x[4L]
++ if(!is.na(x[5L])) x[2L] <- x[2L] + x[5L]
++ options(OutDec = '.')
++ format(x[1L:3L], digits = 7L)
++ },
++ pos = 'CheckExEnv')
+>
+> ### * </HEADER>
> library('PerformanceAnalytics')
Loading required package: zoo
@@ -45,6 +57,7 @@
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: ActiveReturn
> ### Title: Active Premium or Active Return
> ### Aliases: ActivePremium ActiveReturn
@@ -72,12 +85,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("ActivePremium", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("AdjustedSharpeRatio")
> ### * AdjustedSharpeRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: AdjustedSharpeRatio
> ### Title: Adjusted Sharpe ratio of the return distribution
> ### Aliases: AdjustedSharpeRatio
@@ -102,12 +118,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("AdjustedSharpeRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("AppraisalRatio")
> ### * AppraisalRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: AppraisalRatio
> ### Title: Appraisal ratio of the return distribution
> ### Aliases: AppraisalRatio
@@ -132,12 +151,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("AppraisalRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("BernardoLedoitRatio")
> ### * BernardoLedoitRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: BernardoLedoitRatio
> ### Title: Bernardo and Ledoit ratio of the return distribution
> ### Aliases: BernardoLedoitRatio
@@ -160,12 +182,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("BernardoLedoitRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("BetaCoMoments")
> ### * BetaCoMoments
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: BetaCoMoments
> ### Title: Functions to calculate systematic or beta co-moments of return
> ### series
@@ -197,12 +222,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("BetaCoMoments", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("BurkeRatio")
> ### * BurkeRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: BurkeRatio
> ### Title: Burke ratio of the return distribution
> ### Aliases: BurkeRatio
@@ -234,12 +262,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("BurkeRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.RiskPremium")
> ### * CAPM.RiskPremium
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.CML.slope
> ### Title: utility functions for single factor (CAPM) CML, SML, and
> ### RiskPremium
@@ -269,12 +300,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.RiskPremium", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.alpha")
> ### * CAPM.alpha
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.alpha
> ### Title: calculate single factor model (CAPM) alpha
> ### Aliases: CAPM.alpha SFM.alpha
@@ -327,12 +361,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.alpha", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.beta")
> ### * CAPM.beta
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.beta
> ### Title: calculate single factor model (CAPM) beta
> ### Aliases: CAPM.beta CAPM.beta.bear CAPM.beta.bull SFM.beta TimingRatio
@@ -405,12 +442,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.beta", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.dynamic")
> ### * CAPM.dynamic
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.dynamic
> ### Title: Time-varying conditional single factor model beta
> ### Aliases: CAPM.dynamic SFM.dynamic
@@ -493,12 +533,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.dynamic", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.epsilon")
> ### * CAPM.epsilon
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.epsilon
> ### Title: Regression epsilon of the return distribution
> ### Aliases: CAPM.epsilon SFM.epsilon
@@ -521,12 +564,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.epsilon", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CAPM.jensenAlpha")
> ### * CAPM.jensenAlpha
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CAPM.jensenAlpha
> ### Title: Jensen's alpha of the return distribution
> ### Aliases: CAPM.jensenAlpha SFM.jensenAlpha
@@ -547,12 +593,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CAPM.jensenAlpha", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CDD")
> ### * CDD
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CDD
> ### Title: Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD
> ### or CDaR) measure
@@ -580,12 +629,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CDD", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CalmarRatio")
> ### * CalmarRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CalmarRatio
> ### Title: calculate a Calmar or Sterling reward/risk ratio
> ### Aliases: CalmarRatio SterlingRatio
@@ -611,12 +663,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CalmarRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("CoMoments")
> ### * CoMoments
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: CoMoments
> ### Title: Functions for calculating comoments of financial time series
> ### Aliases: CoKurtosis CoMoments CoSkewness CoVariance
@@ -634,12 +689,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("CoMoments", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("DRatio")
> ### * DRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: DRatio
> ### Title: d ratio of the return distribution
> ### Aliases: DRatio
@@ -662,12 +720,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("DRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("DownsideDeviation")
> ### * DownsideDeviation
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: DownsideDeviation
> ### Title: downside risk (deviation, variance) of the return distribution
> ### Aliases: DownsideDeviation DownsidePotential SemiDeviation SemiVariance
@@ -715,12 +776,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("DownsideDeviation", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("DownsideFrequency")
> ### * DownsideFrequency
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: DownsideFrequency
> ### Title: downside frequency of the return distribution
> ### Aliases: DownsideFrequency
@@ -744,12 +808,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("DownsideFrequency", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("ES")
> ### * ES
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: ETL
> ### Title: calculates Expected Shortfall(ES) (or Conditional
> ### Value-at-Risk(CVaR) for univariate and component, using a variety of
@@ -860,6 +927,8 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("ES", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
detaching ‘package:robustbase’
@@ -869,6 +938,7 @@
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: FamaBeta
> ### Title: Fama beta of the return distribution
> ### Aliases: FamaBeta
@@ -891,12 +961,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("FamaBeta", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Frequency")
> ### * Frequency
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Frequency
> ### Title: Frequency of the return distribution
> ### Aliases: Frequency
@@ -914,12 +987,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Frequency", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("InformationRatio")
> ### * InformationRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: InformationRatio
> ### Title: InformationRatio = ActivePremium/TrackingError
> ### Aliases: InformationRatio
@@ -945,12 +1021,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("InformationRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Kappa")
> ### * Kappa
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Kappa
> ### Title: Kappa of the return distribution
> ### Aliases: Kappa
@@ -977,12 +1056,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Kappa", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("KellyRatio")
> ### * KellyRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: KellyRatio
> ### Title: calculate Kelly criterion ratio (leverage or bet size) for a
> ### strategy
@@ -1004,12 +1086,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("KellyRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("M2Sortino")
> ### * M2Sortino
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: M2Sortino
> ### Title: M squared for Sortino of the return distribution
> ### Aliases: M2Sortino
@@ -1034,12 +1119,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("M2Sortino", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("MSquared")
> ### * MSquared
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: MSquared
> ### Title: M squared of the return distribution
> ### Aliases: MSquared
@@ -1062,12 +1150,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("MSquared", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("MSquaredExcess")
> ### * MSquaredExcess
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: MSquaredExcess
> ### Title: M squared excess of the return distribution
> ### Aliases: MSquaredExcess
@@ -1094,12 +1185,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("MSquaredExcess", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("MarketTiming")
> ### * MarketTiming
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: MarketTiming
> ### Title: Market timing models
> ### Aliases: MarketTiming
@@ -1135,12 +1229,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("MarketTiming", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("MartinRatio")
> ### * MartinRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: MartinRatio
> ### Title: Martin ratio of the return distribution
> ### Aliases: MartinRatio
@@ -1165,12 +1262,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("MartinRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("MeanAbsoluteDeviation")
> ### * MeanAbsoluteDeviation
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: MeanAbsoluteDeviation
> ### Title: Mean absolute deviation of the return distribution
> ### Aliases: MeanAbsoluteDeviation
@@ -1193,12 +1293,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("MeanAbsoluteDeviation", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Modigliani")
> ### * Modigliani
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Modigliani
> ### Title: Modigliani-Modigliani measure
> ### Aliases: Modigliani
@@ -1223,12 +1326,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Modigliani", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("NetSelectivity")
> ### * NetSelectivity
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: NetSelectivity
> ### Title: Net selectivity of the return distribution
> ### Aliases: NetSelectivity
@@ -1251,12 +1357,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("NetSelectivity", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Omega")
> ### * Omega
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Omega
> ### Title: calculate Omega for a return series
> ### Aliases: Omega
@@ -1423,12 +1532,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Omega", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("OmegaExcessReturn")
> ### * OmegaExcessReturn
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: OmegaExcessReturn
> ### Title: Omega excess return of the return distribution
> ### Aliases: OmegaExcessReturn OmegaExessReturn
@@ -1451,12 +1563,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("OmegaExcessReturn", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("OmegaSharpeRatio")
> ### * OmegaSharpeRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: OmegaSharpeRatio
> ### Title: Omega-Sharpe ratio of the return distribution
> ### Aliases: OmegaSharpeRatio
@@ -1481,12 +1596,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("OmegaSharpeRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("PainIndex")
> ### * PainIndex
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: PainIndex
> ### Title: Pain index of the return distribution
> ### Aliases: PainIndex
@@ -1511,12 +1629,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("PainIndex", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("PainRatio")
> ### * PainRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: PainRatio
> ### Title: Pain ratio of the return distribution
> ### Aliases: PainRatio
@@ -1541,12 +1662,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("PainRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("ProspectRatio")
> ### * ProspectRatio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: ProspectRatio
> ### Title: Prospect ratio of the return distribution
> ### Aliases: ProspectRatio
@@ -1571,12 +1695,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("ProspectRatio", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.Geltner")
> ### * Return.Geltner
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.Geltner
> ### Title: calculate Geltner liquidity-adjusted return series
> ### Aliases: Return.Geltner
@@ -1610,12 +1737,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.Geltner", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.annualized")
> ### * Return.annualized
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.annualized
> ### Title: calculate an annualized return for comparing instruments with
> ### different length history
@@ -1641,12 +1771,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.annualized", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.annualized.excess")
> ### * Return.annualized.excess
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.annualized.excess
> ### Title: calculates an annualized excess return for comparing instruments
> ### with different length history
@@ -1662,12 +1795,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.annualized.excess", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.calculate")
> ### * Return.calculate
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.calculate
> ### Title: calculate simple or compound returns from prices
> ### Aliases: CalculateReturns Return.calculate
@@ -3703,12 +3839,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.calculate", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.clean")
> ### * Return.clean
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.clean
> ### Title: clean returns in a time series to to provide more robust risk
> ### estimates
@@ -3744,6 +3883,8 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.clean", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
detaching ‘package:robustbase’
@@ -3753,6 +3894,7 @@
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.cumulative
> ### Title: calculate a compounded (geometric) cumulative return
> ### Aliases: Return.cumulative
@@ -3775,12 +3917,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.cumulative", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.excess")
> ### * Return.excess
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.excess
> ### Title: Calculates the returns of an asset in excess of the given risk
> ### free rate
@@ -3832,12 +3977,15 @@
>
>
>
+> base::assign(".dptime", (proc.time() - get(".ptime", pos = "CheckExEnv")), pos = "CheckExEnv")
+> base::cat("Return.excess", base::get(".format_ptime", pos = 'CheckExEnv')(get(".dptime", pos = "CheckExEnv")), "\n", file=base::get(".ExTimings", pos = 'CheckExEnv'), append=TRUE, sep="\t")
> cleanEx()
> nameEx("Return.portfolio")
> ### * Return.portfolio
>
> flush(stderr()); flush(stdout())
>
+> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: Return.rebalancing
> ### Title: Calculates weighted returns for a portfolio of assets
> ### Aliases: Return.portfolio Return.rebalancing
@@ -3854,1056 +4002,1059 @@
weighting vector is null, calulating an equal weighted portfolio
portfolio.returns
1997-01-31 0.0262
-1997-02-28 0.0172
-1997-03-31 0.0043
-1997-04-30 0.0043
-1997-05-31 0.0132
-1997-06-30 0.0208
-1997-07-31 0.0301
+1997-02-28 0.0177
+1997-03-31 0.0045
+1997-04-30 0.0045
+1997-05-31 0.0139
+1997-06-30 0.0222
+1997-07-31 0.0327
1997-08-31 -0.0001
-1997-09-30 0.0223
-1997-10-31 -0.0015
-1997-11-30 0.0043
-1997-12-31 0.0134
-1998-01-31 0.0008
-1998-02-28 0.0186
-1998-03-31 0.0279
-1998-04-30 0.0114
-1998-05-31 0.0060
+1997-09-30 0.0250
+1997-10-31 -0.0018
+1997-11-30 0.0050
+1997-12-31 0.0154
+1998-01-31 0.0009
+1998-02-28 0.0217
+1998-03-31 0.0331
+1998-04-30 0.0139
+1998-05-31 0.0075
1998-06-30 0.0000
-1998-07-31 0.0039
-1998-08-31 -0.0230
-1998-09-30 -0.0074
-1998-10-31 -0.0174
-1998-11-30 0.0100
-1998-12-31 0.0125
-1999-01-31 0.0058
-1999-02-28 0.0082
-1999-03-31 0.0123
-1999-04-30 0.0244
-1999-05-31 0.0091
-1999-06-30 0.0196
-1999-07-31 0.0077
-1999-08-31 0.0039
-1999-09-30 0.0087
-1999-10-31 0.0051
-1999-11-30 0.0175
-1999-12-31 0.0290
-2000-01-31 0.0126
-2000-02-29 0.0260
-2000-03-31 0.0060
-2000-04-30 -0.0038
-2000-05-31 0.0017
-2000-06-30 0.0124
-2000-07-31 0.0062
-2000-08-31 0.0145
-2000-09-30 0.0029
-2000-10-31 0.0006
-2000-11-30 0.0051
-2000-12-31 0.0173
-2001-01-31 0.0200
-2001-02-28 0.0050
-2001-03-31 0.0050
-2001-04-30 0.0006
-2001-05-31 0.0098
-2001-06-30 0.0044
-2001-07-31 0.0010
-2001-08-31 0.0099
-2001-09-30 -0.0052
-2001-10-31 0.0114
-2001-11-30 0.0006
-2001-12-31 0.0077
-2002-01-31 0.0097
-2002-02-28 -0.0006
-2002-03-31 0.0065
-2002-04-30 0.0083
-2002-05-31 0.0074
-2002-06-30 -0.0021
-2002-07-31 -0.0071
-2002-08-31 0.0067
-2002-09-30 0.0040
-2002-10-31 -0.0035
-2002-11-30 0.0068
-2002-12-31 0.0136
-2003-01-31 0.0143
-2003-02-28 0.0087
-2003-03-31 -0.0019
-2003-04-30 0.0120
-2003-05-31 0.0215
-2003-06-30 0.0059
-2003-07-31 -0.0006
-2003-08-31 0.0078
-2003-09-30 0.0132
-2003-10-31 0.0117
-2003-11-30 0.0070
-2003-12-31 0.0164
-2004-01-31 0.0156
-2004-02-29 0.0127
-2004-03-31 0.0032
-2004-04-30 -0.0075
-2004-05-31 -0.0052
-2004-06-30 0.0014
-2004-07-31 -0.0002
-2004-08-31 0.0024
-2004-09-30 0.0082
-2004-10-31 0.0087
-2004-11-30 0.0201
-2004-12-31 0.0103
-2005-01-31 -0.0001
-2005-02-28 0.0121
-2005-03-31 -0.0026
-2005-04-30 -0.0102
-2005-05-31 0.0022
-2005-06-30 0.0120
-2005-07-31 0.0132
-2005-08-31 0.0094
-2005-09-30 0.0156
-2005-10-31 -0.0078
-2005-11-30 0.0120
-2005-12-31 0.0121
-2006-01-31 0.0250
-2006-02-28 0.0048
-2006-03-31 0.0141
-2006-04-30 0.0179
-2006-05-31 -0.0065
-2006-06-30 -0.0007
-2006-07-31 0.0015
-2006-08-31 0.0058
-2006-09-30 0.0003
-2006-10-31 0.0123
-2006-11-30 0.0154
-2006-12-31 0.0149
-2007-01-31 0.0114
-2007-02-28 0.0098
-2007-03-31 0.0078
-2007-04-30 0.0143
-2007-05-31 0.0169
-2007-06-30 0.0082
-2007-07-31 0.0038
-2007-08-31 -0.0135
-2007-09-30 0.0204
-2007-10-31 0.0240
-2007-11-30 -0.0110
-2007-12-31 0.0040
-2008-01-31 -0.0151
-2008-02-29 0.0150
-2008-03-31 -0.0177
-2008-04-30 0.0088
-2008-05-31 0.0140
-2008-06-30 -0.0017
-2008-07-31 -0.0178
-2008-08-31 -0.0108
-2008-09-30 -0.0501
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 3343
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