https://github.com/cran/PortfolioEffectHFT
Tip revision: 4bf854cc3858a822bf75fa1c03ffe00aa47165d5 authored by Andrey Kostin on 24 March 2017, 18:54:25 UTC
version 1.8
version 1.8
Tip revision: 4bf854c
NEWS
PortfolioEffectHFT v1.8 (Release date: 2017-03-21)
==============
Changes:
* Fixed a problem in plot functions.
* Fixed a problem in 'util_getComputeTime' functions.
* Added "font_size","line_size","bw","axis.text.size" and "title.size" output option to "plot" function "portfolio" and "position" class.
* Included arguments was changed in the "portfolio_availableSymbols" function.
PortfolioEffectHFT v1.7 (Release date: 2016-07-15)
==============
Changes:
* Calculation logic was changed to always return metric classes to allow lazy evaluation and auto-batching calculations.
* The following metric functions was renamed:
portfolio_addPosition -> position_add
portfolio_alpha -> alpha_exante
portfolio_beta -> beta
portfolio_calmarRatio -> calmar_ratio
portfolio_create -> portfolio_create
portfolio_cumulant -> cumulant
portfolio_CVaR -> expected_shortfall
portfolio_downCaptureRatio -> down_capture_ratio
portfolio_downNumberRatio -> down_number_ratio
portfolio_downPercentageRatio -> down_percentage_ratio
portfolio_downsideVariance -> downside_variance
portfolio_expectedDownsideReturn -> expected_downside_return
portfolio_expectedReturn -> expected_return
portfolio_expectedUpsideReturn -> expected_upside_return
portfolio_fractalDimension -> fractal_dimension
portfolio_gainLossVarianceRatio -> gain_loss_variance_ratio
portfolio_gainVariance -> gain_variance
portfolio_hurstExponent -> hurst_exponent
portfolio_informationRatio -> information_ratio
portfolio_jensensAlpha -> alpha_jensens
portfolio_kurtosis -> kurtosis
portfolio_lossVariance -> loss_variance
portfolio_maxDrawdown -> max_drawdown
portfolio_modifiedSharpeRatio -> mod_sharpe_ratio
portfolio_moment -> moment
portfolio_omegaRatio -> omega_ratio
portfolio_pdf -> dist_density
portfolio_profit -> profit
portfolio_rachevRatio -> rachev_ratio
portfolio_removePosition -> position_remove
portfolio_return -> log_return
portfolio_sharpeRatio -> sharpe_ratio
portfolio_skewness -> skewness
portfolio_sortinoRatio -> sortino_ratio
portfolio_starrRatio -> starr_ratio
portfolio_startBatch -> portfolio_startBatch
portfolio_symbols -> position_list
portfolio_treynorRatio -> treynor_ratio
portfolio_txnCosts -> txn_costs
portfolio_upCaptureRatio -> up_capture_ratio
portfolio_upNumberRatio -> up_number_ratio
portfolio_upPercentageRatio -> up_percentage_ratio
portfolio_upsideDownsideVarianceRatio -> upside_downside_variance_ratio
portfolio_upsideVariance -> upside_variance
portfolio_value -> value
portfolio_VaR -> value_at_risk
portfolio_variance -> variance
position_alpha -> alpha_exante
position_beta -> beta
position_calmarRatio -> calmar_ratio
position_correlation -> correlation
position_correlationMatrix -> correlation
position_covariance -> covariance
position_covarianceMatrix -> covariance
position_cumulant -> cumulant
position_CVaR -> expected_shortfall
position_downCaptureRatio -> down_capture_ratio
position_downNumberRatio -> down_number_ratio
position_downPercentageRatio -> down_percentage_ratio
position_downsideVariance -> downside_variance
position_expectedDownsideReturn -> expected_downside_return
position_expectedReturn -> expected_return
position_expectedUpsideReturn -> expected_upside_return
position_fractalDimension -> fractal_dimension
position_gainLossVarianceRatio -> gain_loss_variance_ratio
position_gainVariance -> gain_variance
position_hurstExponent -> hurst_exponent
position_informationRatio -> information_ratio
position_jensensAlpha -> alpha_jensens
position_kurtosis -> kurtosis
position_lossVariance -> loss_variance
position_maxDrawdown -> max_drawdown
position_modifiedSharpeRatio -> mod_sharpe_ratio
position_moment -> moment
position_omegaRatio -> omega_ratio
position_pdf -> dist_density
position_price -> price
position_profit -> profit
position_quantity -> quantity
position_rachevRatio -> rachev_ratio
position_return -> log_return
position_returnAutocovariance -> return_autocovariance
position_returnJumpSize -> return_jump_size
position_setQuantity -> set_quantity
position_sharpeRatio -> sharpe_ratio
position_skewness -> skewness
position_sortinoRatio -> sortino_ratio
position_starrRatio -> starr_ratio
position_treynorRatio -> treynor_ratio
position_txnCosts -> txn_costs
position_upCaptureRatio -> up_capture_ratio
position_upNumberRatio -> up_number_ratio
position_upPercentageRatio -> up_percentage_ratio
position_upsideDownsideVarianceRatio -> upside_downside_variance_ratio
position_upsideVariance -> upside_variance
position_value -> value
position_VaR -> value_at_risk
position_variance -> variance
position_weight -> weight
* Added "metric" class with class methods "compute", "plot", "+", "-", "*", ":". This class can be obtained using any metric function ("beta", "alpha", ...) or "create_metric" function.
* Added "position" class with class methods "show", "plot". This class can be obtained using "position_add" or "portfolio_getPosition" functions.
* Added "forecast" class with class methods "forecast_input", "forecast_apply". This class can be obtained using "forecast_builder" function.
Forecasting supports linear heterogeneous autoregression (HAR) in a rolling window.
* The following functions was replaced by "optimization_constraint" with other included function arguments:
optimization_constraint_allWeights
optimization_constraint_beta
optimization_constraint_CVaR
optimization_constraint_expectedReturn
optimization_constraint_modifiedSharpeRatio
optimization_constraint_portfolioValue
optimization_constraint_return
optimization_constraint_sharpeRatio
optimization_constraint_starrRatio
optimization_constraint_sumOfAbsWeights
optimization_constraint_VaR
optimization_constraint_variance
optimization_constraint_weight
* Included arguments was changed in the "optimization_goal" function.
* Auto-batching of lazy metrics is enabled by default. The following batch functions have been removed:
portfolio_startBatch
portfolio_endBatch
PortfolioEffectHFT v1.6 (Release date: 2016-07-15)
==============
Changes:
* Fixed a problem in vignettes that was preventing the package from building on Linux
PortfolioEffectHFT v1.5 (Release date: 2016-02-01)
==============
Changes:
* Switched to using ggplot 2.0
* Added "bw" (black and white) output option to util_summary()
* Added "resultsNAFilter" to portfolio_settings()
PortfolioEffectHFT v1.4 (Release date: 2015-12-17)
==============
Changes:
* Improvements in estimates precision
* Fixed a number of bugs that occurred only under high load
* Improvements in server-side data caching
* Output "NaN" for missing values, computational errors, warm-up periods and possible artifacts
PortfolioEffectHFT v1.3 (Release date: 2015-11-08)
==============
Changes:
* Added portfolio_availableSymbols() to list all available server-side instruments
* Added "fractalPriceModel" to portfolio_settings() method to turn on/off fractal price model.
* Confidence interval parameter changed meaning from tail probability to 1 - tail probability (e.g.from 0.05 to 0.95)
* Default value of "driftTerm" in portfolio_settings() is now "FALSE"
* Fixed errors in portfolio_startBatch() and portfolio_endBatch() - both methods are now working
PortfolioEffectHFT v1.2 (Release date: 2015-09-29)
==============
First commit.
New functionality:
* Auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments), price fractality (long memory) that was built to give tick-resolution analytics.
* Over 40+ portfolio and position-level metrics of intraday risk and performance from modern and post-modern portfolio theory.
* Single-period constraint portfolio optimization (classic Markowitz and extensions for tail risk) with scalar, vector-based and user-defined functional constraints
* Multi-period constraint portfolio optimization that accounts for previous portfolio rebalancing (trading strategy optimization).
* Transactional costs were also implemented in this release.