PortfolioEffectHFT (version 1.7)

calmar_ratio: Calmar Ratio

Description

Computes Calmar ratio (cumulative return to maximum drawdown).

Usage

calmar_ratio(asset)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

See Also

sharpe_ratio sortino_ratio omega_ratio

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# result=compute(calmar_ratio(portfolio),calmar_ratio(positionGOOG),calmar_ratio(positionAAPL)) 
# plot(calmar_ratio(portfolio),calmar_ratio(positionGOOG),calmar_ratio(positionAAPL),
# legend=c('Portfolio','GOOG','AAPL'),title='Calmar Ratio')
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-19 16:00:00"
# portfolio=portfolio_create(dateStart,dateEnd)
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# result=compute(calmar_ratio(positionC),calmar_ratio(positionGOOG),calmar_ratio(positionAAPL)) 
# plot(calmar_ratio(positionC),calmar_ratio(positionGOOG),calmar_ratio(positionAAPL),
# legend=c('C','GOOG','AAPL'),title='Calmar Ratio')
# ## End(Not run)