| periodData-class {portfolioSim} | R Documentation |
Contains data from the simulation that pertains to the passing of time during a period, such as performance and trading activity.
Objects can be created by calls of the form new("periodData", ...).
period:"orderable" specifying
the period to which the object pertains.turnover:"numeric" that
contains the total value of trades, in a reference currency,
executed during the trading period. universe.turnover:"numeric"
that contains the total value of positions, in a reference
currency, that have exited the universe. Positions in securities
held in the previous period but delisted in this period would
contribute to this value. performance:"performance"
specifying return and profit for the period. contribution:"contribution"
specifying contributions of various categories of positions to
total performance for the period.trades:"trades" specifying the
set of trades executed during this period.signature(object = "periodData", type =
"character", fmt = "missing", out.loc = "character", name =
"character", verbose = "logical"): save this object. Currently
only one format, binary .RData, is available, and so the
fmt parameter is missing here.Jeff Enos jeff@kanecap.com