[R-SIG-Finance] Best practice in trading model reporting (PerformanceAnalytics)

Zanella Marco marco.zanella at inbox.com
Mon Jul 20 20:31:00 CEST 2009


Dear Sirs,
I'm working on a standardized report for trading models I'll build. Of course I've found very helpful, my thanks to authors, the PerformanceAnalytics package.

Let me underline that in my opinion the most interesting feature of package is its scalability, or something similar. In fact, you can use the included statistics (Sharpe, maxDD, Var, etc...) or complete the report with statistics of your own or not included in the package.

I would like to ask you what is the best/smartest output format or what kind of output format you usually use for internal model report. In other words: what is the best practice? A single XLS file, TXT report or a complex PDF file (morningstar like) with all the informations about model?

Regards,

Marco



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