Hi,

I looked at the returned value of PortfReturns and got confused. Are they
actual returns or rather a series of 1+r(t) where r(t) is return at time t?

I also have another question about table.Arbitrary. What does it expect as
input return series? A series of r(t) or 1+r(t)?

Also when I put Sharpe ratio and Calmar ratio into table.Arbitrary, I get
an error that periodicity is too high. My return time series is trade by
trade time series which is a high frequency returns. Does that mean I
should roll them up to daily returns first? The problem with this is that I
cannot backtest it with too many days (says a year) using high frequency
data because data amount becomes too large to store in memory for me. Is
there any way to go around these issues? Thank you.

Robert

	[[alternative HTML version deleted]]

