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

[Ilya Kipnis]

But just to beat this into the ground:

>From returns to dollars, it's simply a matter of multiplying your starting
equity by the cumulative return series.
To go from dollars to returns, there's the Return.calculate function in
PerfA.
To get nominal returns from a trading system in quantstrat, you need to
specify initial equity, and then your returns will be a function of your
instrument P&L against your starting equity.

-Ilya

On Sat, Nov 29, 2014 at 11:20 PM, Nick White <n-e-w at qtradr.net> wrote:

> What Ilya says is correct.
>
> In professional finance, it's rarer to report in dollars -- largely
> because in professional trading you're often funding an account with $n
> which bares little relation to the nominal position size you might have
> active in the market. Hence understanding nominal return patterns is
> typically higher value.
>
> It's also pretty trivial to turn xts return series into dollar returns. If
> you want more complex sizing -- and your system is amenable to that type of
> modelling -- check out the `blotter` and `quantstrat` packages.
>
> On Sun, Nov 30, 2014 at 3:15 PM, Ilya Kipnis <ilya.kipnis at gmail.com>
> wrote:
>
>> I believe some of those statistics are in tradeStats for trading systems.
>> Beyond that, you might want to just do some arithmetic from cumulative
>> returns.
>>
>> On Sat, Nov 29, 2014 at 11:05 PM, Ivan Popivanov <
>> ivan.popivanov at gmail.com>
>> wrote:
>>
>> > 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
>> >>>
>> >>>         [[alternative HTML version deleted]]
>> >>>
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>> >>
>>
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>
>

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