[R-SIG-Finance] [PerformanceAnalytics] Adding support for dollar returns?

[Ivan Popivanov]

For instance, given a daily PnL in dollars, extend maxDrawdown to do the
computation also in dollars (under a flag). Something like:

md = maxDrawdown(pnl, dollars=T)

Same could be useful for a few other functions too (not all of course).
That's useful for futures, where one often looks at dollar amounts rather
than percentages.

Regards,
Ivan

On Sat Nov 29 2014 at 22:37:37 Ilya Kipnis <ilya.kipnis at gmail.com> wrote:

> Ivan,
>
> What do you mean by dollar returns? You can go from P&L (dollars) to
> percent by Return.calculate, unless you mean something else?
>
> -Ilya
>
> On Sat, Nov 29, 2014 at 10:34 PM, Ivan Popivanov <ivan.popivanov at gmail.com
> > wrote:
>
>> It seems to me, that statistics (CAGR, drawdowns, etc) expressed in
>> dollars
>> are quite common in the literature related to future systems. Do you think
>> that it makes sense to extend the related PerformanceAnalytics functions
>> to
>> support dollar-returns (it seems to be no more than adding a flag to the
>> interface)? Or do you think it really belongs elsewhere?
>>
>> Thanks in advance,
>> Ivan
>>
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