From 81655836aab467ef44208ad6bd79931618401a99 Mon Sep 17 00:00:00 2001 From: "Documenter.jl" Date: Sat, 27 Apr 2024 12:49:03 +0000 Subject: [PATCH] build based on 9ab6010 --- dev/.documenter-siteinfo.json | 2 +- dev/api/index.html | 6 +++--- dev/index.html | 2 +- dev/usage/index.html | 2 +- 4 files changed, 6 insertions(+), 6 deletions(-) diff --git a/dev/.documenter-siteinfo.json b/dev/.documenter-siteinfo.json index bbb5256..a7d5a20 100644 --- a/dev/.documenter-siteinfo.json +++ b/dev/.documenter-siteinfo.json @@ -1 +1 @@ -{"documenter":{"julia_version":"1.10.2","generation_timestamp":"2024-04-27T12:44:28","documenter_version":"1.4.0"}} \ No newline at end of file +{"documenter":{"julia_version":"1.10.2","generation_timestamp":"2024-04-27T12:49:00","documenter_version":"1.4.0"}} \ No newline at end of file diff --git a/dev/api/index.html b/dev/api/index.html index a58a51c..a81181c 100644 --- a/dev/api/index.html +++ b/dev/api/index.html @@ -1,5 +1,5 @@ -API · OnlinePortfolioAnalytics.jl
GitHub

API Documentation

Portfolio analytics

Modules

OnlinePortfolioAnalytics.OnlinePortfolioAnalytics — Module

OnlinePortfolioAnalytics module aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.

MIT License

Copyright (c) 2024 FemtoTrader <femto.trader@gmail.com>

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

source

Asset return

OnlinePortfolioAnalytics.SimpleAssetReturn — Type
mutable struct SimpleAssetReturn{T} <: OnlinePortfolioAnalytics.AssetReturn{T}
SimpleAssetReturn{T}(; period::Int = 1)

The SimpleAssetReturn implements asset return (simple method) calculations.

Parameters

  • period

Usage

Feed SimpleAssetReturn one observation at a time

julia> using OnlinePortfolioAnalytics
+API · OnlinePortfolioAnalytics.jl
GitHub
API Documentation
Portfolio analytics
Modules
OnlinePortfolioAnalytics.OnlinePortfolioAnalytics — Module
OnlinePortfolioAnalytics module aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.
MIT License
Copyright (c) 2024 FemtoTrader <femto.trader@gmail.com>
Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
source
Asset return
OnlinePortfolioAnalytics.SimpleAssetReturn — Type
mutable struct SimpleAssetReturn{T} <: OnlinePortfolioAnalytics.AssetReturn{T}
SimpleAssetReturn{T}(; period::Int = 1)
The SimpleAssetReturn implements asset return (simple method) calculations.
Parameters
  • period
Usage
Feed SimpleAssetReturn one observation at a time
julia> using OnlinePortfolioAnalytics
 
 julia> ret = SimpleAssetReturn{Float64}()
 SimpleAssetReturn: n=0 | value=missing
@@ -11,7 +11,7 @@
 SimpleAssetReturn: n=2 | value=0.1
 
 julia> value(ret)
-0.1
source
OnlinePortfolioAnalytics.LogAssetReturn — Type
mutable struct LogAssetReturn{T} <: OnlinePortfolioAnalytics.AssetReturn{T}
LogAssetReturn{T}(; period::Int = 1)
The LogAssetReturn implements asset return (natural log method) calculations.
Parameters
  • period
Usage
Feed LogAssetReturn one observation at a time
julia> using OnlinePortfolioAnalytics
+0.1
source
OnlinePortfolioAnalytics.LogAssetReturn — Type
mutable struct LogAssetReturn{T} <: OnlinePortfolioAnalytics.AssetReturn{T}
LogAssetReturn{T}(; period::Int = 1)
The LogAssetReturn implements asset return (natural log method) calculations.
Parameters
  • period
Usage
Feed LogAssetReturn one observation at a time
julia> using OnlinePortfolioAnalytics
 
 julia> ret = LogAssetReturn{Float64}()
 LogAssetReturn: n=0 | value=missing
@@ -23,4 +23,4 @@
 LogAssetReturn: n=2 | value=0.0953102
 
 julia> value(ret)
-0.09531017980432493
source
Mean return
Cumulative return
OnlinePortfolioAnalytics.CumulativeReturn — Type
mutable struct CumulativeReturn{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
CumulativeReturn{T}()
The CumulativeReturn type implements cumulative return calculations.
source
Standard deviation
OnlinePortfolioAnalytics.StdDev — Type
mutable struct StdDev{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
StdDev{T}()
The StdDev type implements standard deviation calculations.
source
Drawdowns
OnlinePortfolioAnalytics.DrawDowns — Type
mutable struct DrawDowns{T} <: OnlinePortfolioAnalytics.AbstractDrawDowns{T}
DrawDowns{T}()
The DrawDowns type implements drawdowns calculations (geometric method).
source
OnlinePortfolioAnalytics.ArithmeticDrawDowns — Type
mutable struct ArithmeticDrawDowns{T} <: OnlinePortfolioAnalytics.AbstractDrawDowns{T}
ArithmeticDrawDowns{T}()
The ArithmeticDrawDowns type implements drawdowns calculations (arithmetic method).
source
Statistical moments
OnlinePortfolioAnalytics.AssetReturnMoments — Type
mutable struct AssetReturnMoments{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsMultiOutput{T}
AssetReturnMoments{T}()
The AssetReturnMoments type implements 4 first statistical moments (mean, std, skewness, kurtosis) calculations.
source
Sharpe ratio
OnlinePortfolioAnalytics.Sharpe — Type
mutable struct Sharpe{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
Sharpe{T}(; period=252, risk_free=0)
The Sharpe type implements sharpe ratio calculations.
Parameters
  • period: default is 252. Daily (252), Hourly (252*6.5), Minutely(252*6.5*60) etc...
  • risk_free: default is 0. Constant risk-free return throughout the period.
source
Sortino ratio
OnlinePortfolioAnalytics.Sortino — Type
mutable struct Sortino{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
Sortino{T}(; period=252, risk_free=0)
The Sortino type implements Sortino ratio calculations.
Parameters
  • period: default is 252. Daily (252), Hourly (252*6.5), Minutely(252*6.5*60) etc...
  • risk_free: default is 0. Constant risk-free return throughout the period.
source
Other

+0.09531017980432493
source

Mean return

Cumulative return

OnlinePortfolioAnalytics.CumulativeReturn — Type
mutable struct CumulativeReturn{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
CumulativeReturn{T}()

The CumulativeReturn type implements cumulative return calculations.

source

Standard deviation

OnlinePortfolioAnalytics.StdDev — Type
mutable struct StdDev{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
StdDev{T}()

The StdDev type implements standard deviation calculations.

source

Drawdowns

OnlinePortfolioAnalytics.DrawDowns — Type
mutable struct DrawDowns{T} <: OnlinePortfolioAnalytics.AbstractDrawDowns{T}
DrawDowns{T}()

The DrawDowns type implements drawdowns calculations (geometric method).

source
OnlinePortfolioAnalytics.ArithmeticDrawDowns — Type
mutable struct ArithmeticDrawDowns{T} <: OnlinePortfolioAnalytics.AbstractDrawDowns{T}
ArithmeticDrawDowns{T}()

The ArithmeticDrawDowns type implements drawdowns calculations (arithmetic method).

source

Statistical moments

OnlinePortfolioAnalytics.AssetReturnMoments — Type
mutable struct AssetReturnMoments{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsMultiOutput{T}
AssetReturnMoments{T}()

The AssetReturnMoments type implements 4 first statistical moments (mean, std, skewness, kurtosis) calculations.

source

Sharpe ratio

OnlinePortfolioAnalytics.Sharpe — Type
mutable struct Sharpe{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
Sharpe{T}(; period=252, risk_free=0)

The Sharpe type implements sharpe ratio calculations.

Parameters

  • period: default is 252. Daily (252), Hourly (252*6.5), Minutely(252*6.5*60) etc...
  • risk_free: default is 0. Constant risk-free return throughout the period.
source

Sortino ratio

OnlinePortfolioAnalytics.Sortino — Type
mutable struct Sortino{T} <: OnlinePortfolioAnalytics.PortfolioAnalyticsSingleOutput{T}
Sortino{T}(; period=252, risk_free=0)

The Sortino type implements Sortino ratio calculations.

Parameters

  • period: default is 252. Daily (252), Hourly (252*6.5), Minutely(252*6.5*60) etc...
  • risk_free: default is 0. Constant risk-free return throughout the period.
source

Other

diff --git a/dev/index.html b/dev/index.html index 3c759be..2e65cb6 100644 --- a/dev/index.html +++ b/dev/index.html @@ -1,2 +1,2 @@ -Home · OnlinePortfolioAnalytics.jl
GitHub

OnlinePortfolioAnalytics.jl

This project aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.

It depends especially on OnlineStatsBase.jl.

It's inspired by the following projects:

Installation

Open Julia command line interface.

Type ] dev https://github.com/femtotrader/OnlinePortfolioAnalytics.jl/

Usage

See unit tests

🚧 This software is under construction. API can have breaking changes.

Contents

+Home · OnlinePortfolioAnalytics.jl
GitHub

OnlinePortfolioAnalytics.jl

This project aims to provide users with functionality for performing quantitative portfolio analytics via online algorithms.

It depends especially on OnlineStatsBase.jl.

It's inspired by the following projects:

Installation

Open Julia command line interface.

Type ] dev https://github.com/femtotrader/OnlinePortfolioAnalytics.jl/

Usage

See unit tests

🚧 This software is under construction. API can have breaking changes.

Contents

diff --git a/dev/usage/index.html b/dev/usage/index.html index a739529..1d24145 100644 --- a/dev/usage/index.html +++ b/dev/usage/index.html @@ -289,4 +289,4 @@ 2021-09-30 3.19005 11.0565 34.5153 2021-10-31 12.4511 16.9924 62.1925 2021-11-30 11.8698 17.6228 13.163 - 2021-12-31 11.4992 16.8173 7.56288 + 2021-12-31 11.4992 16.8173 7.56288