High Frequency Portfolio Analytics by PortfolioEffect


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Documentation for package ‘PortfolioEffectHFT’ version 1.8

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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"'