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

[Peter Carl]

Take a look at the slides for a workshop that Brian and I did earlier this
year:

http://rinfinance.quantmod.com/presentations/PA%20Workshop%20Chi%20RFinance%202009-04.pdf

As you note, PA doesn't presume to prescribe an analysis, but contains
many common tools that may be useful.  The presentation might help give a
better understanding of some of the things that we've found useful through
time.

pcc
-- 
Peter Carl
http://www.braverock.com/~peter

> 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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