pedquant (version 0.2.4)

pq_portfolio: calculating returns/equity of portfolio

Description

pq_portfolio calculates the weighted returns or the equity of a portfolio assets.

Usage

pq_portfolio(dt, orders, x = "close", dtb = NULL, init_fund = NULL,
  method = "arithmetic", cols_keep = NULL, ...)

Arguments

dt

a list/dataframe of price by asset.

orders

a data frame of transaction orders, which includes symbol, date, prices, quantity and side columns.

x

the column name of adjusted asset price, defaults to close.

dtb

a list/dataframe of price base asset.

init_fund

initial fund value.

method

the method to calculate asset returns, the available values include arithmetic and log, defaults to arithmetic.

cols_keep

the columns keep in the return data. The columns of symbol, name and date will always kept if they are exist in the input data.

...

ignored

Examples

library(pedquant)

data(dt_banks)
datadj = md_stock_adjust(dt_banks)


# example I 
orders = data.frame(
    symbol = c("601288.SH","601328.SH","601398.SH","601939.SH","601988.SH"), 
    quantity = c(100, 200, 300, 300, 100)
)
dtRa = pq_portfolio(datadj, orders=orders) 

e1 = pq_plot(dtRa, y = 'cumreturns')
e1[[1]]


# example II 
data(dt_ssec)
orders = data.frame(
    symbol = rep(c("601288.SH","601328.SH","601398.SH","601939.SH","601988.SH"), 3), 
    date = rep(c('2009-03-02', '2010-01-04', '2014-09-01'), each = 5), 
    quantity = rep(c(100, 200, 300, 300, 100), 3) * rep(c(1, -1, 2), each = 5)
)
dtRab = pq_portfolio(datadj, orders=orders, dtb = dt_ssec, init_fund = 10000) 

e2 = pq_plot(dtRab, y = 'cumreturns', yb = 'cumreturns_000001.SH', addti = list(portfolio=list()))
e2[[1]]


# example III
orders = data.frame(symbol = "000001.SH", 
     date = c("2009-04-13", "2010-03-24", "2014-08-13", "2015-09-10"), 
     quantity = c(400, -400, 300, -300))
dtRa2 = pq_portfolio(dt_ssec, orders=orders, cols_keep = 'all')

e3 = pq_plot(dtRa2, y = 'close', addti = list(cumreturns=list(), portfolio=list()))
e3[[1]]