High Frequency Portfolio Analytics by PortfolioEffect


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Documentation for package ‘PortfolioEffectHFT’ version 1.6

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A G O P S U misc

-- A --

aapl.data Sample Price Data

-- G --

goog.data Sample Price Data

-- O --

optimization_constraint_allWeights Portfolio Optimization - Position Weights Constraint
optimization_constraint_beta Portfolio Optimization - Beta Constraint
optimization_constraint_CVaR Portfolio Optimization - CVaR Constraint
optimization_constraint_expectedReturn Portfolio Optimization - Expected Return Constraint
optimization_constraint_modifiedSharpeRatio Portfolio Optimization - Modified Sharpe Ratio Constraint
optimization_constraint_portfolioValue Portfolio Optimization - Portfolio Value Constraint
optimization_constraint_return Portfolio Optimization - Return Constraint
optimization_constraint_sharpeRatio Portfolio Optimization - Sharpe Ratio Constraint
optimization_constraint_starrRatio Portfolio Optimization - Starr Ratio Constraint
optimization_constraint_sumOfAbsWeights Portfolio Optimization - Sum Of Absolute Position Weights Constraint
optimization_constraint_VaR Portfolio Optimization - VaR Constraint
optimization_constraint_variance Portfolio Optimization - Variance Constraint
optimization_constraint_weight Portfolio Optimization - Position Weight 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 '"portfolio"'
plot-method Class '"portfolioPlot"'
portfolio-class Class '"portfolio"'
portfolioPlot-class Class '"portfolioPlot"'
portfolio_addPosition Add position in portfolio
portfolio_addPosition-method Class '"portfolio"'
portfolio_alpha Portfolio Alpha
portfolio_availableSymbols Get All Symbol List
portfolio_beta Portfolio Beta
portfolio_calmarRatio Portfolio Calmar Ratio
portfolio_create Creates new portfolio
portfolio_create-method Class '"portfolio"'
portfolio_cumulant Portfolio N-th Cumulant
portfolio_CVaR Portfolio Conditional Value-at-Risk
portfolio_downCaptureRatio Portfolio Down Capture Ratio
portfolio_downNumberRatio Portfolio Down Number Ratio
portfolio_downPercentageRatio Portfolio Down Percentage Ratio
portfolio_downsideVariance Portfolio Downside Variance
portfolio_endBatch Ends Metrics Batch
portfolio_expectedDownsideReturn Portfolio Expected Downside Return
portfolio_expectedReturn Portfolio Expected Return
portfolio_expectedUpsideReturn Portfolio Expected Upside Return
portfolio_fractalDimension Portfolio Fractal Dimension
portfolio_gainLossVarianceRatio Portfolio Gain Loss Variance Ratio
portfolio_gainVariance Portfolio Gain Variance
portfolio_getSettings Get Portfolio Settings
portfolio_hurstExponent Portfolio Hurst Exponent
portfolio_informationRatio Portfolio Information Ratio
portfolio_jensensAlpha Portfolio Jensen's Alpha
portfolio_kurtosis Portfolio Kurtosis
portfolio_lossVariance Portfolio Loss Variance
portfolio_maxDrawdown Portfolio Max Drawdown
portfolio_modifiedSharpeRatio Portfolio Modified Sharpe Ratio
portfolio_moment Portfolio N-th Order Central Moment
portfolio_omegaRatio Portfolio Omega Ratio
portfolio_pdf Probability Density Function of Portfolio Returns
portfolio_profit Portfolio Profit
portfolio_rachevRatio Portfolio Rachev Ratio
portfolio_removePosition Remove position from portfolio
portfolio_return Portfolio Return
portfolio_settings Portfolio Settings
portfolio_sharpeRatio Portfolio Sharpe Ratio
portfolio_skewness Portfolio Skewness
portfolio_sortinoRatio Portfolio Sortina Ratio
portfolio_starrRatio Portfolio STARR Ratio
portfolio_startBatch Starts Metrics Batch
portfolio_symbols Portfolio Symbols
portfolio_treynorRatio Portfolio Treynor Ratio
portfolio_txnCosts Portfolio Transactional Costs
portfolio_upCaptureRatio Portfolio Up Capture Ratio
portfolio_upNumberRatio Portfolio Up Number Ratio
portfolio_upPercentageRatio Portfolio Up Percentage Ratio
portfolio_upsideDownsideVarianceRatio Portfolio Upside/Downside Variance Ratio
portfolio_upsideVariance Portfolio Upside Variance
portfolio_value Portfolio Value
portfolio_VaR Portfolio Value-at-Risk
portfolio_variance Portfolio Variance
position_alpha Position Alpha
position_beta Position Beta
position_calmarRatio Position Calmar Ratio
position_correlation Position Correlation
position_correlationMatrix Position Correlation Matrix
position_covariance Position Covariance
position_covarianceMatrix Position Covariance Matrix
position_cumulant Position N-th Cumulant
position_CVaR Position Conditional Value-at-Risk
position_downCaptureRatio Position Down Capture Ratio
position_downNumberRatio Position Down Number Ratio
position_downPercentageRatio Position Down Percentage Ratio
position_downsideVariance Position Downside Variance
position_expectedDownsideReturn Position Expected Downside Return
position_expectedReturn Position Expected Return
position_expectedUpsideReturn Position Expected Upside Return
position_fractalDimension Position Fractal Dimension
position_gainLossVarianceRatio Position Gain Loss Variance Ratio
position_gainVariance Position Gain Variance
position_hurstExponent Position Hurst Exponent
position_informationRatio Position Information Ratio
position_jensensAlpha Position Jensen's Alpha
position_kurtosis Position Kurtosis
position_lossVariance Position Loss Variance
position_maxDrawdown Position Max Drawdown
position_modifiedSharpeRatio Position Modified Sharpe Ratio
position_moment Position N-th Moment
position_omegaRatio Position Omega Ratio
position_pdf Probability Density Function of Position Returns
position_price Position Price
position_profit Position Profit
position_quantity Position Quantity
position_rachevRatio Position Rachev Ratio
position_return Position Return
position_returnAutocovariance Position Return Autocovariance
position_returnJumpSize Position Return Jump Size
position_setQuantity Set Position Quantity
position_sharpeRatio Position Sharpe Ratio
position_skewness Position Skewness
position_sortinoRatio Position Sortino Ratio
position_starrRatio Position STARR Ratio
position_treynorRatio Position Treynor Ratio
position_txnCosts Position Transactional Costs
position_upCaptureRatio Position Up Capture Ratio
position_upNumberRatio Position Up Number Ratio
position_upPercentageRatio Position Up Percentage Ratio
position_upsideDownsideVarianceRatio Position Upside/Downside Variance Ratio
position_upsideVariance Position Upside Variance
position_value Position Value
position_VaR Position Value-at-Risk
position_variance Position Variance
position_weight Position Weight

-- S --

show-method Class '"portfolio"'
show-method Class '"portfolioPlot"'
spy.data Sample Price Data

-- U --

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
util_summary Portfolio Summary Plot

-- misc --

+-method Class '"portfolioPlot"'