[R-SIG-Finance] Strategy performance summary report

[Brian G. Peterson]

On 12/29/2010 11:08 AM, Brian G. Peterson wrote:
> 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.

The tradeStats function  is in blotter in SVN r512.  It is only 
partially documented, but should suffice for now.  Thanks to Josh 
Ulrich, Klemen Koselj, and Mark Knecht for additions to the stats 
calculated by the function and bugfixes. Specific contributions are in 
the documentation.

Because I feel that any statistic calculable strictly from transaction 
P&L without reference to any proprietary strategy rules is likely 
non-proprietary, I will continue to welcome suggestions, resuests, and 
(better yet) additions or patches to add additional statistics to the 
summary information provided by blotter.

Regards,

   - Brian

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