calc_pnl

This function takes in a data frame and calculates the cumulative P&amp;L, daily
P&amp;L, annualized P&amp;L, P&amp;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.

Creates an interactive graphics
interface to visualize backtest results of different financial
instruments, such as equities, futures, and credit default swaps.
The package does not run backtests on the given data set but
displays a graphical explanation of the backtest results. Users can
look at backtest graphics for different instruments, investment
strategies, and portfolios. Summary statistics of different
portfolio holdings are shown in the left panel, and interactive
plots of profit and loss (P&L), net market value (NMV) and
gross market value (GMV) are displayed in the right panel.

Yanrong Song

backtestGraphics

Interactive Graphics for Portfolio Data

Zijie Zhu

David Kane

Ziqi Lu

Karan Tibrewal

Fan Zhang

calc_pnl function

<dl><dt>x</dt>
<dd>A data frame that contains data for individual commodities.</dd>
<dt>trade.freq</dt>
<dd>The trading frequency of the portfolio, numeric</dd></dl>

Arguments

Calculate cumulative pnl, mean pnl, dollar sharpe ratio — calc_pnl

<dl>

<dt>x</dt>
<dd>A data frame that contains data for individual commodities.</dd>


<dt>trade.freq</dt>
<dd>The trading frequency of the portfolio, numeric</dd>

</dl>

calc_pnl: Calculate cumulative pnl, mean pnl, dollar sharpe ratio

Description

Usage

Value

Arguments