[PerformanceAnalytics] Adding support for dollar returns?
For instance, given a daily PnL in dollars, extend maxDrawdown to do the computation also in dollars (under a flag). Something like: md = maxDrawdown(pnl, dollars=T) Same could be useful for a few other functions too (not all of course). That's useful for futures, where one often looks at dollar amounts rather than percentages. Regards, Ivan
On Sat Nov 29 2014 at 22:37:37 Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
Ivan, What do you mean by dollar returns? You can go from P&L (dollars) to percent by Return.calculate, unless you mean something else? -Ilya On Sat, Nov 29, 2014 at 10:34 PM, Ivan Popivanov <ivan.popivanov at gmail.com
wrote:
It seems to me, that statistics (CAGR, drawdowns, etc) expressed in
dollars
are quite common in the literature related to future systems. Do you think
that it makes sense to extend the related PerformanceAnalytics functions
to
support dollar-returns (it seems to be no more than adding a flag to the
interface)? Or do you think it really belongs elsewhere?
Thanks in advance,
Ivan
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