https://github.com/enricoschumann/pmwr
Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.
https://github.com/enricoschumann/pmwr
accounting backtesting backtesting-trading-strategies equity-trading financial-data financial-portfolio-management r
Last synced: 6 months ago
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Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.
- Host: GitHub
- URL: https://github.com/enricoschumann/pmwr
- Owner: enricoschumann
- License: other
- Created: 2016-06-13T19:08:41.000Z (over 9 years ago)
- Default Branch: master
- Last Pushed: 2025-04-17T19:09:50.000Z (6 months ago)
- Last Synced: 2025-04-18T09:32:04.400Z (6 months ago)
- Topics: accounting, backtesting, backtesting-trading-strategies, equity-trading, financial-data, financial-portfolio-management, r
- Language: R
- Homepage: http://enricoschumann.net/PMwR
- Size: 1.85 MB
- Stars: 62
- Watchers: 6
- Forks: 11
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- Changelog: ChangeLog
- License: LICENSE
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README
# Portfolio Management with R
[](https://cran.r-project.org/package=PMwR)
[](https://cran.r-project.org/package=PMwR)
## About PMwR
Functions for the practical management of financial
portfolios: backtesting investment and trading strategies,
computing profit-and-loss and returns, analysing trades,
reporting, and more. PMwR provides a small set of reliable,
efficient and convenient tools that help in processing and
analysing trade/portfolio data. The package does not
provide a complete application that could be used 'as is',
but building blocks for creating such an application.
## What PMwR provides
The package provides functions that can serve as building
blocks for many activities in portfolio management.
- Keeping track of transactions: The package provides
functions for handling journals (sometimes called
blotters). See ?journal and ?position.
- Testing strategies: See ?btest (and this
[tutorial on backtesting](https://dx.doi.org/10.2139/ssrn.3374195)).
- Computing profit/loss and returns: See ?returns,
?rc, ?pl or ?unit_prices.
All details are in the
[manual](https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html).
New features are often described in these
[notes](https://enricoschumann.net/notes/PMwR/).
I am grateful for comments, suggestions and corrections;
bug reports, in particular, can be started directly from
within R:
library("utils")
bug.report("[PMwR] Unexpected behaviour in function XXX",
address = maintainer("PMwR"),
package = "PMwR")
Applications, as long as they are finance-related,
should be discussed on the R-SIG-Finance mailing list:
[https://stat.ethz.ch/mailman/listinfo/r-sig-finance](https://stat.ethz.ch/mailman/listinfo/r-sig-finance)
## Installation
The latest stable version of the package is available
from [CRAN](https://cran.r-project.org/package=PMwR).
The latest *development* version is available from
[https://enricoschumann.net/R/packages/PMwR/](https://enricoschumann.net/R/packages/PMwR/). You
can install either version directly from within R:
install.packages('PMwR') ## CRAN stable version
install.packages('PMwR', ## development version
repos = c('https://enricoschumann.net/R',
getOption('repos')))
The package depends on several other packages, which
can be obtained from the same repository and from CRAN.
There are also publicly-available repositories at
[https://git.sr.ht/~enricoschumann/PMwR](https://git.sr.ht/~enricoschumann/PMwR) ,
[https://gitlab.com/enricoschumann/PMwR](https://gitlab.com/enricoschumann/PMwR) and
[https://github.com/enricoschumann/PMwR](https://github.com/enricoschumann/PMwR).