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We are pleased to announce the availability on CRAN of PerformanceAnalytics version 0.9.6. This is a feature and bugfix release. http://cran.r-project.org/src/contrib/Descriptions/PerformanceAnalytics.html PerformanceAnalytics is a library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing t...

We are pleased to announce the availability on CRAN of PerformanceAnalytics version 0.9.6. This is a feature and bugfix release. http://cran.r-project.org/src/contrib/Descriptions/PerformanceAnalytics.html PerformanceAnalytics is a library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing t...

...e std dev of returns of YHOO so far i got: getSymbols("YHOO") retYHOO <- Return.calculate(Cl(YHOO)) > sd(retYHOO) YHOO.Close NA but i received an NA....can any assist? tks! -- View this message in context: http://www.nabble.com/Newbie-question-re-stddev%2C-quantmod-and-performanceanalytics-tp25001293p25001293.html Sent from the R help mailing list archive at Nabble.com.

Hi All, I am trying to plot 4 graphs on to 1 page using layout(...), or par(mfcol = c(...)); with the function QQplot from the package PerformanceAnalytics. The problem is that, no matter what order I use, it only plots 3 graphs on to 1 page and the last QQplot is shunted to the next page. Also, this only happens to the QQplot, i.e. there is no problem with 4 Histograms. set.seed(1033) data <- matrix(rnorm(240), 240, 2) data[,2] <- rt(24...

All, I'm attempting to run this: table.CAPM(series[,"Strat.Return",drop=FALSE],series[,"spy.Return",drop=FALSE]) and getting this error Error in as.vector(data[, i]) : subscript out of bounds I've searched around and cannot find a solution to the problem.  I've used this in the past without problem and I'm not sure what I did different this time. Other

...ncluding error message and sessionInfo are provided below. Guidance would be appreciated. --John J. Sparks, Ph.D. > library(tidyquant) Loading required package: lubridate Attaching package: ?lubridate? The following object is masked from ?package:base?: date Loading required package: PerformanceAnalytics Loading required package: xts Loading required package: zoo Attaching package: ?zoo? The following objects are masked from ?package:base?: as.Date, as.Date.numeric Package PerformanceAnalytics (1.4.3541) loaded. Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson, GPL-2 | GPL-3 htt...

...edata The above statements give me precisely what I expect. The last few lines of output are: 8190 2009-06-16 49.30 8191 2009-06-17 48.40 8192 2009-06-18 47.72 8193 2009-06-19 48.83 8194 2009-06-22 46.85 8195 2009-06-23 47.11 8196 2009-06-24 46.97 8197 2009-06-25 47.43 I have loaded Rmetrics and PerformanceAnalytics, among other packages. I tried as.timeseries, but R2.9.1 tells me there is no such function. I tried as.ts(thedata), but that only replaces the date field by the row label in 'thedata'. If I apply the performance analytics drawdowns function to either thedata or thedate$V2, I get error...

...he package and then copy it to my Win 7. Then, on Win 7 I run: > install.packages('PortfolioAnalytics', type='source', repos='<The location of the package on Win 7>') I got Warning: unable to access index for repository C:/myPath/library/returnanalytics/pkg/PerformanceAnalytics/src/contrib Warning: package ‘PortfolioAnalytics’ is not available (for R version 2.15.2) I also tried http://stackoverflow.com/questions/4739837/how-do-i-install-an-r-package-from-the-source-tarball-on-windows http://cran.r-project.org/doc/manuals/R-admin.html#Windows-packages (6.3.1 Wi...

Hi R, I want to do some rolling correlations. But before, I searched for "?rollingCorrelation" and tried the example in it. But I was not successful. What could be the problem? Here is the code I tried: > library(zoo) > library(PerformanceAnalytics) > rollingCorrelation(manager.ts@Data[,1],edhec.ts@Data,n=12) Error in inherits(object, "zoo") : object "manager.ts" not found BR, Shubha [[alternative HTML version deleted]]

...financial data. I am developing a portfolio strategy evaluation technique to back-test the performance of our screens; checking how the screened stock would've performed over the period in question. I am using quantmod in R to download the historical data from yahoo and then analyzing it using PerformanceAnalytics. My problem is that, as our screens are done using Bloomberg, my list of screened stocks only has Bloomberg tickers and ISINs. Does anybody know of a method which could convert ISINs to yahoo tickers/symbols?? Or a method of accessing yahoo historical data from an ISIN (instead of a symbol call)...

I am estimating Value at Risk using PerfomanceAnalytics package. The?variables are stored in a data frame. I formated the data variables using zoo() and as.xtx() but it is not working. The working example is below. ##########################################################? reguire(zoo) require(PerformanceAnalytics) reguire(xts) ? year<- c(1991-12-30, 1992-12-30, 1993-12-30, 1994-12-30) R1 <- c(12, 9, 8, 13) R2 <- c(5,2,9, 13) d? <- data.frame(cbind(year, R1,R2)) ? d<- zoo(d,year)? VaR(d) #Error in checkData(R, method = "xts", ...) ? #When I use d <- as.xts(d,order.by =year, fre...

...ot;) abline(h=400, lty=3, col="lightgrey") But doesnt wotk. I alo try to set ylim from 0 to max "Foa"+1000 but I?m not able ?Is it posible? require(latticeExtra) require(ggplot2) require(reshape2) suppressPackageStartupMessages(require(googleVis)) require(quantmod) require(PerformanceAnalytics) require(xtsExtra) require(rCharts) Foa<-as.xts(read.zoo("fa.txt",col.names=c("Date","LAST"), sep="",dec=",", format="%d/%m/%Y")) chartSeries(Foa,theme="white",TA = c(addBBands(50,2), addBBands(100,2), addBBands(250,2...

...packages()[,1]) As a new user of R, I was shocked when I finished loading R and discovered the following message: "There were 50 or more warnings (use warnings() to see the first 50)" In addition to this, I saw errors such as this one: "ERROR: lazy loading failed for package 'PerformanceAnalytics' What is this lazy loading? More importantly, do I have to worry about all these warnings? I am intimidated by the idea that I have to go back and fix each and every one in order to have a clean R update. Shouldn't the update with CRAN "just work?" Or is there something re...

...es with a header line) in the csv- format and read it in R, first in ts, and then converting it to csv: msci_ret = ts(msci_ret, start=1970, frequency=12) msci_ret <- as.xts(msci_ret) Apparently, I do not understand exactly how to generate a date format for monthly data which can be read unter PerformanceAnalytics. I attach my csv data. Thanks for your help! yvonne

...is. > head(^GSPC) Error: unexpected '^' in "head(^" Again it is a problem. Back to the real problem here is the code below. How do I get around the error that results from the "^"? rm(list = ls(all = TRUE)) # use this to clear data library(quantmod) library(PerformanceAnalytics) symbols <- c('XLE','XLV','XLI','XLU','XLP','IYZ','XLK','XLY','XLF','XLB','GLD','SLV','E FA','EEM','FXA','FXE','FXY','HYG','LQD', '^GSP...

...0:00:00.112000 Time taken by R:0:00:02.355000 Total time elapsed:0:00:02.467000 Why is there such a huge difference in the time taken by R on the two platforms? Am I doing something wrong? It's my first Rpy2 code so I guess it's badly written. I'm loading the following libraries: 'PerformanceAnalytics','timeSeries','fPortfolio','fPortfolioBacktest' I'm using Rpy2 2.1.0 and R 2.11 Regards Abhijit Bera [[alternative HTML version deleted]]

Hello there, I am trying to compute the 3 months return momentum with the timeSeries x.ts, which is just a subset of simple returns from a much bigger series, > class(x.ts) [1] "timeSeries" attr(,"package") [1] "timeSeries" > dim(x.ts) [1] 20 3 > x.ts[1:8,] GMT MS.US AAPL.US CA.FP 1996-01-31 0.15159065 -0.133391894

...TRXUSDT = structure(c(0.08481, 0.08549, 0.08501, 0.08667, 0.08821), dim = c(5L, 1L), index = structure(c(1697068800, 1697155200, 1697241600, 1697328000, 1697414400), tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"))) I will compute some function from PerformanceAnalytics package and write all results in a tibble. Let's apply a first function, Return.annualized() (at first I computed returns from daily prices). I have now a list of arrays named my.ret.lst: my.ret.lst <- list(BTCUSDT = structure(15.36, dim = c(1L, 1L), dimnames = list( "Annualized...

...ombinat? The following object is masked from ?package:utils?: combn Loading required package: fAsianOptions Loading required package: timeDate Attaching package: ?timeDate? The following object is masked from ?package:cairoDevice?: Cairo The following objects are masked from ?package:PerformanceAnalytics?: kurtosis, skewness Loading required package: timeSeries Attaching package: ?timeSeries? The following object is masked from ?package:zoo?: time<- Loading required package: fBasics Rmetrics Package fBasics Analysing Markets and calculating Basic Statistics Copyright (C) 2005-...

The prob package has been archived because it depends upon some other packages which have issues. However, such projects as Introduction to Probability and Statistics in R depend upon it for learning. There are a few other resources that also use it. Does anyone know of any workarounds? Someone at stack exchange mentioned using R 2.9. However, that broke my RStudio (WSOD) and the dependent