PortfolioEffectHFT (version 1.6)

position_modifiedSharpeRatio: Position Modified Sharpe Ratio

Description

Computes modified Sharpe Ratio of a position at a given confidence interval. Computation employs distribution skewness and kurtosis to account for non-normality.

Usage

position_modifiedSharpeRatio(portfolio,symbol,confidenceInterval=0.95)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

symbol

Unique identifier of an instrument

confidenceInterval

Confidence interval (in decimals) to be used as a cut-off point

Value

See Also

position_sharpeRatio

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')
# portfolio_addPosition(portfolio,'GOOG',100,priceData=goog.data)  
# portfolio_addPosition(portfolio,'AAPL',300,priceData=aapl.data) 
# portfolio_addPosition(portfolio,'SPY',150,priceData=spy.data)
# util_plot2d(position_modifiedSharpeRatio(portfolio,'GOOG',0.95),
# title="Position Modified Sharpe Ratio, GOOG")
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'C',300) 
# portfolio_addPosition(portfolio,'GOOG',150)
# util_plot2d(position_modifiedSharpeRatio(portfolio,'AAPL',0.95),
# title="Position Modified Sharpe Ratio, AAPL")
# ## End(Not run)