(benchmark-stats permno)Compares the portfolio with security permno of the main dataset (an
index or ETF, say) over the run so far, on the days both have a value:
{:days :portfolio-return :benchmark-return :excess-return :beta :alpha
:correlation :tracking-error :information-ratio}. Returns are total
returns over the period as fractions; the benchmark's comes from its
adjusted price, so it includes dividends. :alpha (zero risk-free rate),
:tracking-error and :information-ratio are annualised from daily log
returns. nil with fewer than two common days.
Compares the portfolio with security `permno` of the main dataset (an
index or ETF, say) over the run so far, on the days both have a value:
{:days :portfolio-return :benchmark-return :excess-return :beta :alpha
:correlation :tracking-error :information-ratio}. Returns are total
returns over the period as fractions; the benchmark's comes from its
adjusted price, so it includes dividends. :alpha (zero risk-free rate),
:tracking-error and :information-ratio are annualised from daily log
returns. nil with fewer than two common days.(get-daily-returns)This function returns a collection of daily returns from 'portfolio-value'.
This function returns a collection of daily returns from 'portfolio-value'.
(max-drawdown)This function returns the maximum drawdown: the largest peak-to-trough decline of the portfolio total value, as a fraction of the peak.
This function returns the maximum drawdown: the largest peak-to-trough decline of the portfolio total value, as a fraction of the peak.
(pnl-per-trade)The profit/loss per trade in dollars: total profit over the number of orders the strategy placed, not counting those end-order places to close positions.
The profit/loss per trade in dollars: total profit over the number of orders the strategy placed, not counting those end-order places to close positions.
(portfolio-daily-ret)This function returns the current daily return of the portfolio.
This function returns the current daily return of the portfolio.
(portfolio-total)This function returns the current total value of the portfolio.
This function returns the current total value of the portfolio.
(portfolio-total-ret)This function returns the current total return of the portfolio.
This function returns the current total return of the portfolio.
(rolling-sharpe-ratio)This function returns the annualised sharpe ratio over the rolling time window.
This function returns the annualised sharpe ratio over the rolling time window.
(rolling-volatility)The volatility of the portfolio over the rolling time window, as a fraction (the formatted report shows it in %).
The volatility of the portfolio over the rolling time window, as a fraction (the formatted report shows it in %).
(sharpe-ratio)This function returns the annualised sharpe ratio of the portfolio.
This function returns the annualised sharpe ratio of the portfolio.
(update-eval-report)This function updates the evaluation report.
This function updates the evaluation report.
(update-rolling-window n)This functions updates the time window for rolling functions.
This functions updates the time window for rolling functions.
(volatility)The volatility of the portfolio: sample standard deviation of all daily log returns so far, as a fraction (the formatted report shows it in %).
The volatility of the portfolio: sample standard deviation of all daily log returns so far, as a fraction (the formatted report shows it in %).
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