calc_pnl {backtestGraphics} | R Documentation |
Calculate cumulative pnl, mean pnl, dollar sharpe ratio
Description
This function takes in a data frame and calculates the cumulative P&L, daily P&L, annualized P&L, P&L volatility and dollar sharpe ratio as well as three biggest drawdowns. There are also average daily return rate and the standard deviation of daily return rates.
Usage
calc_pnl(x, trade.freq = 7)
Arguments
x |
A data frame that contains data for individual commodities. |
trade.freq |
The trading frequency of the portfolio, numeric |
Value
a list ith cumulative pnl, mean pnl, annualized volatility of pnl, dollar sharpe ratio and drawdown
[Package backtestGraphics version 0.1.8 Index]