Trading Strategies Performance Report with R and Knitr

October 18, 2013
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I’ve been looking for template reports using R and Knitr for a while but I didn’t find anything that suits my needs so far. I therefore decided to create them myself.

What I like to see about trading strategies are basic performance charts (daily, monthly and yearly), some basic trading statistics and above all most recent performance figures to track potential strategy decay. I also want all of the information to be displayed on a single page. All this already exists obviously but not within a synthetic report like the one I present here. Therefore some custom formatting was required.

The input necessary to create this report is a simple 2 columns csv file with daily date and return. The output is a good looking pdf file (see image below).

I created a GistGitHub repository with 3 files:

  • performanceReportREADME.txt: it contains the usual disclaimer
  • performanceReportWithKnitr.R: This is the main R function that creates the charts and the input for LaTeX tables
  • performanceReport_AssetAllocation.Rnw: This file calls the R function above and generates the pdf report.

Any comments welcome

performanceReport

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