PortfolioEffectHFT (version 1.6)

position_rachevRatio: Position Rachev Ratio

Description

Computes Rachev ratio of a position at given confidence intervals. Computation employs distribution skewness and kurtosis to account for non-normality.

Usage

position_rachevRatio(portfolio,symbol,confidenceIntervalA=0.95,confidenceIntervalB=0.95)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

symbol

Unique identifier of the instrument

confidenceIntervalA

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

confidenceIntervalB

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

Value

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_rachevRatio(portfolio,'GOOG',0.95,0.95),title="Position Rachev 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_rachevRatio(portfolio,'AAPL',0.95,0.95),title="Position Rachev Ratio, AAPL")
# ## End(Not run)