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

[Ivan Popivanov]

The notion of "starting equity" is blurry when dealing with futures and
other instruments allowing high leverage. It's not just a coincidence that
most books on the topic use dollars.

On Sat Nov 29 2014 at 23:25:55 Ilya Kipnis <ilya.kipnis at gmail.com> wrote:

> 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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> >> >>
> >> >>
> >>
> >>         [[alternative HTML version deleted]]
> >>
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> >
>
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