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perTradeStats.Rd
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perTradeStats.Rd
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% Generated by roxygen2 (4.0.2): do not edit by hand
\name{perTradeStats}
\alias{perTradeStats}
\title{calculate flat to flat per-trade statistics}
\usage{
perTradeStats(Portfolio, Symbol, includeOpenTrade = TRUE,
tradeDef = "flat.to.flat", ...)
}
\arguments{
\item{Portfolio}{string identifying the portfolio}
\item{Symbol}{string identifying the symbol to examin trades for. If missing, the first symbol found in the \code{Portfolio} portfolio will be used}
\item{includeOpenTrade}{whether to process only finished trades, or the last trade if it is still open, default TRUE}
\item{tradeDef}{string to determine which definition of 'trade' to use. Currently "flat.to.flat" (the default) and "flat.to.reduced" are implemented.}
\item{\dots}{any other passthrough parameters}
}
\value{
A \code{data.frame} containing:
\describe{
\item{Start}{the \code{POSIXct} timestamp of the start of the trade}
\item{End}{the \code{POSIXct} timestamp of the end of the trade, when flat}
\item{Init.Pos}{the initial position on opening the trade}
\item{Max.Pos}{the maximum (largest) position held during the open trade}
\item{Num.Txns}{ the number of transactions included in this trade}
\item{Max.Notional.Cost}{ the largest notional investment cost of this trade}
\item{Net.Trading.PL}{ net trading P&L in the currency of \code{Symbol}}
\item{MAE}{ Maximum Adverse Excursion (MAE), in the currency of \code{Symbol}}
\item{MFE}{ Maximum Favorable Excursion (MFE), in the currency of \code{Symbol}}
\item{Pct.Net.Trading.PL}{ net trading P&L in percent of invested \code{Symbol} price gained or lost}
\item{Pct.MAE}{ Maximum Adverse Excursion (MAE), in percent}
\item{Pct.MFE}{ Maximum Favorable Excursion (MFE), in percent}
\item{tick.Net.Trading.PL}{ net trading P&L in ticks}
\item{tick.MAE}{ Maximum Adverse Excursion (MAE) in ticks}
\item{tick.MFE}{ Maximum Favorable Excursion (MFE) in ticks}
}
}
\description{
One 'trade' is defined as the entire time the symbol is not flat.
It may contain many transactions. From the initial transaction that
moves the position away from zero to the last transaction that flattens the
position is all one 'trade' for the purposes of this function.
}
\details{
This is sometimes referred to as 'flat to flat' analysis.
Note that a trade that is open at the end of the measured period will
be marked to the timestamp of the end of the series.
If that trade is later closed, the stats for it will likely change.
This is 'mark to market' for the open position, and corresponds to
most trade accounting systems and risk systems in including the open
position in reporting.
}
\author{
Brian G. Peterson, Jan Humme
}
\references{
Tomasini, E. and Jaekle, U. \emph{Trading Systems - A new approach to system development and portfolio optimisation} (ISBN 978-1-905641-79-6)
}
\seealso{
\code{\link{chart.ME}} for a chart of MAE and MFE derived from this function,
and \code{\link{tradeStats}} for a summary view of the performance
}