tag:blogger.com,1999:blog-7630810606654250077.post1340195234586206499..comments2023-05-12T04:18:09.354-07:00Comments on Timely Portfolio: System Failure-Maybe it Will Helpklrhttp://www.blogger.com/profile/08783806801212705259noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-7630810606654250077.post-71916938431393411142011-08-29T07:43:41.392-07:002011-08-29T07:43:41.392-07:00Unfortunately the following functions are not avai...Unfortunately the following functions are not available (missing code):<br />CAGR<br />TRSI<br />Drawdown<br />Sharpe<br />DVRpcavatorehttps://www.blogger.com/profile/15679084215057129073noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-40202083137591668962011-08-15T20:48:32.713-07:002011-08-15T20:48:32.713-07:00SP I hope this helps, my assistant wrote this code...SP I hope this helps, my assistant wrote this code so I am not going to be much help if there are questions:<br /><br />PortfolioStats <- function(x, period = 50, log.ret = FALSE, significance = 3) {<br /> # Table of annualized return, stdev, sharpe DVR, worst drawdown, avg return (in market), time in market (%)<br /> #<br /> # Args:<br /> # x: Required. A matrix or vector of returns with Micksonhttps://www.blogger.com/profile/15509272718576375518noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-30832382753708447672011-08-12T03:06:20.630-07:002011-08-12T03:06:20.630-07:00@Mickson Any chance you can publish your very usef...@Mickson Any chance you can publish your very useful PortfolioStats function? Thanks.SPhttps://www.blogger.com/profile/06415469239466265644noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-13861170948893267332011-08-11T20:13:15.677-07:002011-08-11T20:13:15.677-07:00Sorry the table never came out so well:(Sorry the table never came out so well:(Micksonhttps://www.blogger.com/profile/15509272718576375518noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-68454974999784025552011-08-11T20:11:55.564-07:002011-08-11T20:11:55.564-07:00I thought it might be useful to add to your plot a...I thought it might be useful to add to your plot a performance table, something like this as I think the plot only takes you so far.<br />This table is from one of my files.<br />performance.table <- PortfolioStats(summary.window, log.ret = FALSE)<br />> performance.table<br /> SNL GLOBAL System<br />Annualized Return 0.062 0.132<br />Total returnMicksonhttps://www.blogger.com/profile/15509272718576375518noreply@blogger.com