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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: BENCHMARK ANALYSIS FUNCTIONS:
# getReturns Computes return series given a price series
# FUNCTION: DRAWDOWNS:
# maxDrawDown Computes the maximum drawdown
# FUNCTION: PERFORMANCE RATIOS:
# sharpeRatio Calculates the Sharpe Ratio
# sterlingRatio Calculates the Sterling Ratio
# FUNCTION: OHLC PLOT:
# ohlcPlot Creates a Open-High-Low-Close plot
################################################################################
test.getReturns =
function()
{
# getReturns - Computes return series given a price series
# Data from fEcofin:
X = MSFT
print(head(X))
# Get Returns:
R = getReturns(X)
head(R)
# Get Returns:
R = getReturns(X, percentage = TRUE)
head(R)
# Return Value:
return()
}
################################################################################
test.maxDrawDown =
function()
{
# maxDrawDown - Computes the maximum drawdown
# Data from fEcofin:
X = MSFT
print(head(X))
# Closing Prices:
Close = as.timeSeries(X)[, "Close"]
# Maximum Draw Down:
maxDrawDown(Close)
# Plot:
plot(Close, type = "l")
abline(v = as.POSIXct("2000-11-09"), lty = 3, col = "red")
abline(v = as.POSIXct("2000-12-20"), lty = 3, col = "red")
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.sharpeRatio =
function()
{
# sharpeRatio - Calculates the Sharpe Ratio
# Data from fEcofin:
X = MSFT
print(head(X))
# Get Returns:
R = getReturns(X)
# Sharpe Ratio:
sharpeRatio(R[, "Close"])
# Return Value:
return()
}
################################################################################
test.sterlingRatio =
function()
{
# sterlingRatio - Calculates the Sterling Ratio
# Data from fEcofin:
X = MSFT
print(head(X))
# Get Returns:
R = getReturns(X)
# Sterling Ratio:
sterlingRatio(R[, "Close"])
# Return Value:
return()
}
################################################################################
test.ohlcPlot =
function()
{
# ohlcPlot - Creates a Open-High-Low-Close plot
# Data from fEcofin:
myFinCenter <<- "GMT"
X = MSFT
print(head(X))
# Get Returns:
R = returns(X)[, -5]
Y = alignDailySeries(X, method = "fillNA", include.weekends = TRUE)
# Plot:
# ohlcPlot(as.ts(R)) # CHECK !!!
# Return Value:
return()
}
################################################################################
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