YRmisc package News:

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YRmisc 0.1.5
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2019-May-15

Happy One Year!

New Functions:

pt.mv: mean-variance model simulation
pl.mv: plot mean-variance simulation result with ggplot2
pt.roy: roy's safety-first criterion
pt.bias: bias ratio
pt.dbeta: dual-beta
pt.dalpha: dual-alpha

Text fixes and bug fixes

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YRmisc 0.1.4
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2019-Apr-15

New Functions:

# all new functions for this version are for portfolio management
pt.annrtn: calculate annualized return from annual returns
pt.udrtn: average up and down returns
pt.alpha: calculate asset alpha
pt.beta: calculate asset beta
pt.annexrtn: annualized excessive return
pt.annsd: annualized standard deviation
pt.btavg: batting average
pt.cmrtn: cumulative return
pt.cmexrtn: cumulative excess return
pt.probloss: probability of loss with target
pt.exploss: expected loss with target
pt.semivar: semivariance of returns with target
pt.info: calculate information ratio
pt.sharp: calculate sharp ratio
pt.sortino: calculate sortino ratio
pt.treynor: calculate treynor ratio
pt.sdexret: standard deviation of excess return
pt.updwcap: up and down capture
pt.jalpha: Jensen's alpha
pt.te: tracking error
pt.m2: modigliani risk-adjusted performance

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YRmisc 0.1.3
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2019-Jan-02

Happy New Year!

Changing package name to {YRmisc}: Yin & Russon Miscellaneous R Functions

New Functions:

pkg.save: save installed packages before updating R
pkg.install: install pre-save packages from pkg.save() after updating R
pl.histgg: histograms for a data frame with ggplot2
pl.sgg: scatter plots for a data frame with ggplot2
pl.smgg: scatter plots with smooth line for a data frame with ggplot2
pl.tsgg: time series plots for a data frame with ggplot2
pl.2tsgg: two time series with ggplot2
pl.3txtgg: scatter plot with text overlay using ggplot2
pl.3smoothtxtgg: scatter plot with text overlay and smooth line using ggplot2
xd.fred.tickers: output a data frame with information of FRED variables

Improvements:

xd.fred: now the function can take more than one ticker and output a merged data frame with all observations

Bug fixes:

text fixes

removed pl.multiple - plotting arrangement has switched to using {gridExtra}

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PMmisc 0.1.2
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2018-Nov-22

Happy Thanks Giving!

Bug fixes:

  Fixed df.sort not working due to a coding error
  Fixed pl.s having wrong title generated
  Fixed pl.sm having wrong title generated

New Functions:

cv.powers to generate new varibables
cv.logs to generate new varibables
cv.axp to generate new varibables
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reg.linreg now is with optimized coding, runs 99% faster
reg.r.suqred for reg.linreg result generation
reg.adjr.suqred for reg.linreg result generation
reg.aic for reg.linreg result generation
reg.bic for reg.linreg result generation
reg.dof for reg.linreg result generation
reg.std.err for reg.linreg result generation
reg.dw for reg.linreg result generation
*Note: All the test statistics add as functions are to improve reg.linreg efficiency for large number of model calculations.
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pl.histgg for batch graph generation with ggplot2
*Note: This is a test to convert most pl.* functions from base graph to ggplot2. However, the current version runs very slow.

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PMmisc 0.1.1
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2018-Jul-17

Added package NEWS File.

Updated some examples with more details.

Applied a new naming method.

Added new 14 functions.

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PMmisc 0.1.0
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First Version 2018-May-04
