Hi, I have been learning R and trying to learn/use quanstrat/blotter for some time now and I find it very nice. I would like to thank developers and the community for creating and improving it.
I have a very simple problem: I would like to create a strategy perfomance summary report (since I can not find it in the package or in the r-sig-finance list archives). I would like to display information about strategy performance in simmilar way as is done here http://quantumfinancier.wordpress.com/2010/09/24/new-strategy-performance-summary/. Most of the info was calculating using PerformanceAnalytics as shown in http://quantumfinancier.wordpress.com/2010/06/26/support-vector-machine-rsi-system/. I can replicate that. I am having problems with how to calculate trade statistics Win%, Average/Median Trade/win/loss, Win/Loss ratio etc. The only example I found was from Josh Urlich http://blog.fosstrading.com/2009/06/rsi2-evaluation.html unfortunately not using blotter... My problem is that I do not (yet) understand blotter internal data structures in order to be able to extract data needed for calculations. I would very much appreciate if someone could share an example of how to get this data from blotter. Thanks in advance for any hints/examples/... Kind regards, Klemen. [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
