High Frequency Portfolio Analytics by PortfolioEffect
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Documentation for package ‘PortfolioEffectHFT’ version 1.8
- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
- Package NEWS.
Help Pages
A B C D E F G H I K L M O P Q R S T U V W misc
-- A --
| aapl.data | Sample Price Data |
| alpha_exante | Alpha |
| alpha_exante-method | Alpha |
| alpha_jensens | Jensen's Alpha |
| alpha_jensens-method | Jensen's Alpha |
-- B --
| beta | Beta |
| beta-method | Beta |
-- C --
| calmar_ratio | Calmar Ratio |
| calmar_ratio-method | Calmar Ratio |
| compute | Compute Metrics |
| correlation | Correlation |
| correlation-method | Correlation |
| covariance | Covariance |
| covariance-method | Covariance |
| create_metric | Create metric class |
| create_metric-method | Create metric class |
| cumulant | N-th Cumulant |
| cumulant-method | N-th Cumulant |
-- D --
| dist_density | Probability Density Function of Portfolio Returns |
| dist_density-method | Probability Density Function of Portfolio Returns |
| downside_variance | Downside Variance |
| downside_variance-method | Downside Variance |
| down_capture_ratio | Down Capture Ratio |
| down_capture_ratio-method | Down Capture Ratio |
| down_number_ratio | Down Number Ratio |
| down_number_ratio-method | Down Number Ratio |
| down_percentage_ratio | Down Percentage Ratio |
| down_percentage_ratio-method | Down Percentage Ratio |
-- E --
| expected_downside_return | Expected Downside Return |
| expected_downside_return-method | Expected Downside Return |
| expected_return | Expected Return |
| expected_return-method | Expected Return |
| expected_shortfall | Expected Shortfall |
| expected_shortfall-method | Expected Shortfall |
| expected_upside_return | Expected Upside Return |
| expected_upside_return-method | Expected Upside Return |
-- F --
| forecast-class | Class '"forecast"' |
| forecast_apply | Forecast Apply |
| forecast_builder | Forecast builder |
| forecast_input | Forecast Input |
| fractal_dimension | Fractal Dimension |
| fractal_dimension-method | Fractal Dimension |
-- G --
| gain_loss_variance_ratio | Gain Loss Variance Ratio |
| gain_loss_variance_ratio-method | Gain Loss Variance Ratio |
| gain_variance | Gain Variance |
| gain_variance-method | Gain Variance |
| goog.data | Sample Price Data |
-- H --
| hurst_exponent | Hurst Exponent |
| hurst_exponent-method | Hurst Exponent |
-- I --
| information_ratio | Information Ratio |
| information_ratio-method | Information Ratio |
-- K --
| kurtosis | Kurtosis |
| kurtosis-method | Kurtosis |
-- L --
| log_return | Returns |
| log_return-method | Returns |
| loss_variance | Loss Variance |
| loss_variance-method | Loss Variance |
-- M --
| max_drawdown | Max Drawdown |
| max_drawdown-method | Max Drawdown |
| metric-class | Class '"metric"' |
| mod_sharpe_ratio | Modified Sharpe Ratio |
| mod_sharpe_ratio-method | Modified Sharpe Ratio |
| moment | N-th Order Central Moment |
| moment-method | N-th Order Central Moment |
-- O --
| omega_ratio | Omega Ratio |
| omega_ratio-method | Omega Ratio |
| optimization_constraint | Portfolio Optimization Constraint |
| optimization_forecast | Porfolio Optimization - Set Optimization Forecast |
| optimization_goal | Porfolio Optimization - Set Optimization Goal |
| optimization_info | Porfolio Optimization - Print Optimization Details |
| optimization_run | Portfolio Optimization - Runs Optimization Algorithm |
| optimizer-class | Class '"optimizer"' |
-- P --
| plot-method | Class '"metric"' |
| plot-method | Class '"portfolio"' |
| plot-method | Class '"portfolioPlot"' |
| plot-method | Class '"position"' |
| portfolio-class | Class '"portfolio"' |
| portfolioPlot-class | Class '"portfolioPlot"' |
| portfolio_availableSymbols | Get All Symbol List |
| portfolio_create | Creates new portfolio |
| portfolio_create-method | Class '"portfolio"' |
| portfolio_defaultSettings | Portfolio Default Settings |
| portfolio_getPosition | Get position from portfolio |
| portfolio_getSettings | Get Portfolio Settings |
| portfolio_settings | Portfolio Settings |
| position-class | Class '"position"' |
| position_add | Add position in portfolio |
| position_add-method | Class '"portfolio"' |
| position_list | Portfolio Symbols |
| position_remove | Remove position from portfolio |
| position_remove-method | Remove position from portfolio |
| price | Price |
| price-method | Price |
| profit | Profit |
| profit-method | Profit |
-- Q --
| quantity | Quantity |
| quantity-method | Quantity |
-- R --
| rachev_ratio | Rachev Ratio |
| rachev_ratio-method | Rachev Ratio |
| return_autocovariance | Return Autocovariance |
| return_autocovariance-method | Return Autocovariance |
| return_jump_size | Return Jump Size |
| return_jump_size-method | Return Jump Size |
-- S --
| set_quantity | Set Position Quantity |
| set_quantity-method | Set Position Quantity |
| sharpe_ratio | Sharpe Ratio |
| sharpe_ratio-method | Sharpe Ratio |
| show-method | Class '"metric"' |
| show-method | Class '"portfolio"' |
| show-method | Class '"portfolioPlot"' |
| show-method | Class '"position"' |
| skewness | Skewness |
| skewness-method | Skewness |
| sortino_ratio | Sortina Ratio |
| sortino_ratio-method | Sortina Ratio |
| spy.data | Sample Price Data |
| starr_ratio | STARR Ratio |
| starr_ratio-method | STARR Ratio |
-- T --
| treynor_ratio | Treynor Ratio |
| treynor_ratio-method | Treynor Ratio |
| txn_costs | Transactional Costs |
| txn_costs-method | Transactional Costs |
-- U --
| upside_downside_variance_ratio | Upside/Downside Variance Ratio |
| upside_downside_variance_ratio-method | Upside/Downside Variance Ratio |
| upside_variance | Upside Variance |
| upside_variance-method | Upside Variance |
| up_capture_ratio | Up Capture Ratio |
| up_capture_ratio-method | Up Capture Ratio |
| up_number_ratio | Up Number Ratio |
| up_number_ratio-method | Up Number Ratio |
| up_percentage_ratio | Up Percentage Ratio |
| up_percentage_ratio-method | Up Percentage Ratio |
| util_cleanCredentials | Clean API Credentials |
| util_colorScheme | Color scheme for charts |
| util_dateToPOSIXTime | Date To POSIX Time |
| util_fillScheme | Fill scheme for charts |
| util_getComputeTime | Remaining compute time |
| util_ggplot | Converter of portfolioPlot to ggplot2 |
| util_line2d | Adds line chart to existing plot |
| util_multiplot | Multiple ggplot2 charts on one page |
| util_plot2d | Line plot of portfolio metric (for a time series) |
| util_plot2df | Line plot of portfolio metric (for a dataframe) |
| util_plotDensity | Line plot of probability density |
| util_plotTheme | Plot style settings for PortfolioEffect theme |
| util_POSIXTimeToDate | POSIX Time To Date |
| util_setCredentials | Set API Credentials |
-- V --
| value | Value |
| value-method | Value |
| value_at_risk | Value-at-Risk |
| value_at_risk-method | Value-at-Risk |
| variance | Variance |
| variance-method | Variance |
-- W --
| weight | Weight |
| weight-method | Weight |
| weight_transform | Weight Transform |
-- misc --
| *-method | Class '"metric"' |
| +-method | Class '"metric"' |
| +-method | Class '"portfolioPlot"' |
| --method | Class '"metric"' |
| /-method | Class '"metric"' |