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
[PerformanceAnalytics] Adding support for dollar returns?
5 messages · Ilya Kipnis, Ivan Popivanov
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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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
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
I believe some of those statistics are in tradeStats for trading systems. Beyond that, you might want to just do some arithmetic from cumulative returns. On Sat, Nov 29, 2014 at 11:05 PM, Ivan Popivanov <ivan.popivanov at gmail.com> wrote:
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
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
It was more of a question for the package maintainers. I am going to do the work anyways, the question is whether to do it in PerformanceAnalytics, or elsewhere (if they deem that that's not something to add to the package).
On Sat Nov 29 2014 at 23:15:30 Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
I believe some of those statistics are in tradeStats for trading systems. Beyond that, you might want to just do some arithmetic from cumulative returns. On Sat, Nov 29, 2014 at 11:05 PM, Ivan Popivanov <ivan.popivanov at gmail.com
wrote:
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
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.