Dear Sirs, I'm working on a standardized report for trading models I'll build. Of course I've found very helpful, my thanks to authors, the PerformanceAnalytics package. Let me underline that in my opinion the most interesting feature of package is its scalability, or something similar. In fact, you can use the included statistics (Sharpe, maxDD, Var, etc...) or complete the report with statistics of your own or not included in the package. I would like to ask you what is the best/smartest output format or what kind of output format you usually use for internal model report. In other words: what is the best practice? A single XLS file, TXT report or a complex PDF file (morningstar like) with all the informations about model? Regards, Marco
Best practice in trading model reporting (PerformanceAnalytics)
2 messages · Zanella Marco, Peter Carl
Take a look at the slides for a workshop that Brian and I did earlier this year: http://rinfinance.quantmod.com/presentations/PA%20Workshop%20Chi%20RFinance%202009-04.pdf As you note, PA doesn't presume to prescribe an analysis, but contains many common tools that may be useful. The presentation might help give a better understanding of some of the things that we've found useful through time. pcc
Peter Carl http://www.braverock.com/~peter > Dear Sirs, > I'm working on a standardized report for trading models I'll build. Of > course I've found very helpful, my thanks to authors, the > PerformanceAnalytics package. > > Let me underline that in my opinion the most interesting feature of > package is its scalability, or something similar. In fact, you can use the > included statistics (Sharpe, maxDD, Var, etc...) or complete the report > with statistics of your own or not included in the package. > > I would like to ask you what is the best/smartest output format or what > kind of output format you usually use for internal model report. In other > words: what is the best practice? A single XLS file, TXT report or a > complex PDF file (morningstar like) with all the informations about model? > > Regards, > > Marco > > _______________________________________________ > R-SIG-Finance at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. >