PortfolioEffectHFT (version 1.7)

upside_downside_variance_ratio: Upside/Downside Variance Ratio

Description

Computes upside to downside variance ratio of a portfolio.

Usage

upside_downside_variance_ratio(asset, thresholdReturn)

Arguments

asset

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

thresholdReturn

Return value to be used as a cut-off point

Value

See Also

upside_variance downside_variance

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 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(upside_downside_variance_ratio(positionC,0.05),
# upside_downside_variance_ratio(positionGOOG,0.05),
# upside_downside_variance_ratio(positionAAPL,0.05)) 
# plot(upside_downside_variance_ratio(positionC,0.05),
# upside_downside_variance_ratio(positionGOOG,0.05),
# upside_downside_variance_ratio(positionAAPL,0.05),
# legend=c('C','GOOG','AAPL'),title='Upside/Downside Variance Ratio')
# ## End(Not run)