PerformanceAnalytics has long enjoyed contributions from users who would like to see specific functionality included.
Diethelm Wuertz at ETHZ, who is the author and sponsor of all the various R/Metrics packages is one of those contributors. I first met Diethelm when he hosted a conference on high-frequency data in the early 1990′s (where we fretted about managing terabyte-sized databases), but it was his various R/Metrics packages that finally convinced me to use R. He was also keynote at our first R/Finance conference, where he demonstrated his talents in financial data visualization.
When I finally was able to attend his excellent conference in Meielisalp, he very generously contributed a very large set of functions that he had been working on from the second edition of Bacon (2008).
It pains me that it has taken so long to thank him publicly for that contribution. It only makes it worse that so much of that contribution has only slowly leaked into PerformanceAnalytics over time. Of the more than 100 functions he contributed, more than 50 have been incorporated, integrated with, or overlap with existing functions.
But there is still a fair amount of work to do. I’ve recently been focused on some of the downside metrics, things like average drawdowns. Some of the upside corollaries to downside statistics are interesting as well – measures such as upside potential, upside variance, and upside risk.
To help move this effort along, I proposed a Google Summer of Code project for 2012. Students, let me know if you are interested or even if you have any questions.
Diethelm’s original contributions can be found on r-forge in svn.
Again, many thanks to Diethelm!