# High Frequency Portfolio Analytics by PortfolioEffect

## Documentation for package ‘PortfolioEffectHFT’ version 1.8

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
- Package NEWS.

## Help Pages

A B C D E F G H I K L M O P Q R S T U V W misc

## -- A --

aapl.data | Sample Price Data
alpha_exante | Alpha
alpha_exante-method | Alpha
alpha_jensens | Jensen's Alpha
alpha_jensens-method | Jensen's Alpha

## -- B --

beta | Beta
beta-method | Beta

## -- C --

calmar_ratio | Calmar Ratio
calmar_ratio-method | Calmar Ratio
compute | Compute Metrics
correlation | Correlation
correlation-method | Correlation
covariance | Covariance
covariance-method | Covariance
create_metric | Create metric class
create_metric-method | Create metric class
cumulant | N-th Cumulant
cumulant-method | N-th Cumulant

## -- D --

dist_density | Probability Density Function of Portfolio Returns
dist_density-method | Probability Density Function of Portfolio Returns
downside_variance | Downside Variance
downside_variance-method | Downside Variance
down_capture_ratio | Down Capture Ratio
down_capture_ratio-method | Down Capture Ratio
down_number_ratio | Down Number Ratio
down_number_ratio-method | Down Number Ratio
down_percentage_ratio | Down Percentage Ratio
down_percentage_ratio-method | Down Percentage Ratio

## -- E --

expected_downside_return | Expected Downside Return
expected_downside_return-method | Expected Downside Return
expected_return | Expected Return
expected_return-method | Expected Return
expected_shortfall | Expected Shortfall
expected_shortfall-method | Expected Shortfall
expected_upside_return | Expected Upside Return
expected_upside_return-method | Expected Upside Return

## -- F --

forecast-class | Class '"forecast"'
forecast_apply | Forecast Apply
forecast_builder | Forecast builder
forecast_input | Forecast Input
fractal_dimension | Fractal Dimension
fractal_dimension-method | Fractal Dimension

## -- G --

gain_loss_variance_ratio | Gain Loss Variance Ratio
gain_loss_variance_ratio-method | Gain Loss Variance Ratio
gain_variance | Gain Variance
gain_variance-method | Gain Variance
goog.data | Sample Price Data

## -- H --

hurst_exponent | Hurst Exponent
hurst_exponent-method | Hurst Exponent

## -- I --

information_ratio | Information Ratio
information_ratio-method | Information Ratio

## -- K --

kurtosis | Kurtosis
kurtosis-method | Kurtosis

## -- L --

log_return | Returns
log_return-method | Returns
loss_variance | Loss Variance
loss_variance-method | Loss Variance

## -- M --

max_drawdown | Max Drawdown
max_drawdown-method | Max Drawdown
metric-class | Class '"metric"'
mod_sharpe_ratio | Modified Sharpe Ratio
mod_sharpe_ratio-method | Modified Sharpe Ratio
moment | N-th Order Central Moment
moment-method | N-th Order Central Moment

## -- O --

omega_ratio | Omega Ratio
omega_ratio-method | Omega Ratio
optimization_constraint | Portfolio Optimization Constraint
optimization_forecast | Porfolio Optimization - Set Optimization Forecast
optimization_goal | Porfolio Optimization - Set Optimization Goal
optimization_info | Porfolio Optimization - Print Optimization Details
optimization_run | Portfolio Optimization - Runs Optimization Algorithm
optimizer-class | Class '"optimizer"'

## -- P --

plot-method | Class '"metric"'
plot-method | Class '"portfolio"'
plot-method | Class '"portfolioPlot"'
plot-method | Class '"position"'
portfolio-class | Class '"portfolio"'
portfolioPlot-class | Class '"portfolioPlot"'
portfolio_availableSymbols | Get All Symbol List
portfolio_create | Creates new portfolio
portfolio_create-method | Class '"portfolio"'
portfolio_defaultSettings | Portfolio Default Settings
portfolio_getPosition | Get position from portfolio
portfolio_getSettings | Get Portfolio Settings
portfolio_settings | Portfolio Settings
position-class | Class '"position"'
position_add | Add position in portfolio
position_add-method | Class '"portfolio"'
position_list | Portfolio Symbols
position_remove | Remove position from portfolio
position_remove-method | Remove position from portfolio
price | Price
price-method | Price
profit | Profit
profit-method | Profit

## -- Q --

quantity | Quantity
quantity-method | Quantity

## -- R --

rachev_ratio | Rachev Ratio
rachev_ratio-method | Rachev Ratio
return_autocovariance | Return Autocovariance
return_autocovariance-method | Return Autocovariance
return_jump_size | Return Jump Size
return_jump_size-method | Return Jump Size

## -- S --

set_quantity | Set Position Quantity
set_quantity-method | Set Position Quantity
sharpe_ratio | Sharpe Ratio
sharpe_ratio-method | Sharpe Ratio
show-method | Class '"metric"'
show-method | Class '"portfolio"'
show-method | Class '"portfolioPlot"'
show-method | Class '"position"'
skewness | Skewness
skewness-method | Skewness
sortino_ratio | Sortina Ratio
sortino_ratio-method | Sortina Ratio
spy.data | Sample Price Data
starr_ratio | STARR Ratio
starr_ratio-method | STARR Ratio

## -- T --

treynor_ratio | Treynor Ratio
treynor_ratio-method | Treynor Ratio
txn_costs | Transactional Costs
txn_costs-method | Transactional Costs

## -- U --

upside_downside_variance_ratio | Upside/Downside Variance Ratio
upside_downside_variance_ratio-method | Upside/Downside Variance Ratio
upside_variance | Upside Variance
upside_variance-method | Upside Variance
up_capture_ratio | Up Capture Ratio
up_capture_ratio-method | Up Capture Ratio
up_number_ratio | Up Number Ratio
up_number_ratio-method | Up Number Ratio
up_percentage_ratio | Up Percentage Ratio
up_percentage_ratio-method | Up Percentage Ratio
util_cleanCredentials | Clean API Credentials
util_colorScheme | Color scheme for charts
util_dateToPOSIXTime | Date To POSIX Time
util_fillScheme | Fill scheme for charts
util_getComputeTime | Remaining compute time
util_ggplot | Converter of portfolioPlot to ggplot2
util_line2d | Adds line chart to existing plot
util_multiplot | Multiple ggplot2 charts on one page
util_plot2d | Line plot of portfolio metric (for a time series)
util_plot2df | Line plot of portfolio metric (for a dataframe)
util_plotDensity | Line plot of probability density
util_plotTheme | Plot style settings for PortfolioEffect theme
util_POSIXTimeToDate | POSIX Time To Date
util_setCredentials | Set API Credentials

## -- V --

value | Value
value-method | Value
value_at_risk | Value-at-Risk
value_at_risk-method | Value-at-Risk
variance | Variance
variance-method | Variance

## -- W --

weight | Weight
weight-method | Weight
weight_transform | Weight Transform

## -- misc --

*-method | Class '"metric"'
+-method | Class '"metric"'
+-method | Class '"portfolioPlot"'
--method | Class '"metric"'
/-method | Class '"metric"'