[R-SIG-Finance] Strategy performance summary report

Brian G. Peterson brian at braverock.com
Wed Dec 29 18:08:55 CET 2010


On 12/28/2010 07:56 PM, Klemen Koselj wrote:
> Hi,
>
> I have been learning R and trying to learn/use quanstrat/blotter for some
> time now and I find it very nice. I would like to thank developers and the
> community for creating and improving it.
>
> I have a very simple problem: I would like to create a strategy perfomance
> summary report (since I can not find it in the package or in the
> r-sig-finance list archives). I would like to display information about
> strategy performance in simmilar way as is done here
> http://quantumfinancier.wordpress.com/2010/09/24/new-strategy-performance-summary/.
> Most of the info was calculating using PerformanceAnalytics as shown
> in
> http://quantumfinancier.wordpress.com/2010/06/26/support-vector-machine-rsi-system/.
> I can replicate that. I am having problems with how to calculate trade
> statistics Win%, Average/Median Trade/win/loss, Win/Loss ratio etc. The only
> example I found was from Josh Urlich
> http://blog.fosstrading.com/2009/06/rsi2-evaluation.html unfortunately not
> using blotter...
>
> My problem is that I do not (yet) understand blotter internal data
> structures in order to be able to extract data needed for calculations. I
> would very much appreciate if someone could share an example of how to get
> this data from blotter.
>
> Thanks in advance for any hints/examples/...

Attached please find the prototype of the function that will make it 
into blotter for trade stats (just as soon as I write the 
documentation).  Comments and additions always appreciated.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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