NEWS

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PMwR 1.0-1 (2024-10-19)

• change URL to DOI, as requested by CRAN

PMwR 1.0-0

• 'returns': default for 'na.rm' is now FALSE. The warning about missing values, introduced in version v0.19-6, is handled by new argument 'na.warn' (with default FALSE). Note that 'na.rm' had always affected only a limited number of cases of holding-period return computations.
• when computing portfolio returns, 'returns' no longer ignores argument 'pad' when no rebalancing takes place
• various minor changes and documentation updates; many tests have been added. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.19-6

• 'unit_prices': rename argument 'initial.shares' to 'initial.units', and support its use. The function also gains arguments 'round.price' and 'round.units'.
• 'returns' now issues a warning when there are NAs in series and argument 'na.rm' is not explicitly set. This warning will be removed when the default of 'na.rm' is set to FALSE in the not-too-distant future version 1.0.
• 'pricetable' supports multivariate zoo series
• various minor changes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.19-5 (2024-07-21)

• fixed: 'rc' did not compute total contributions correctly when returns were not sorted in time
• fixed: the zoo method of 'returns' no longer ignores argument 'na.rm'
• 'is_valid_ISIN' gains an argument 'NA.FALSE', with default FALSE. With this default, is_valid_ISIN(NA) evaluates to NA, whereas before an NA would evaluate to FALSE. To retain the old behaviour, set NA.FALSE to TRUE. The function also no longer emits a (harmless but annoying) warning when the check digit of an invalid ISIN was not a number.
• 'rc' now supports (or where it did so already, gets documentation for) various computations, notably for linking single-period returns
• the print methods for summaries of 'NAVseries' have been improved, notably in the multivariate case
• 'instrument' methods have been added for 'NAVseries'
• experimental: 'as.NAVseries' now splits a multivariate zoo-series into a list of NAVseries
• documentation updates

PMwR 0.19-4

• the computations for 'position' are more efficient now
• documentation updates

PMwR 0.19-3 (2023-10-19)

• documentation updates. In particular, many help pages now have links to the revelant manual sections. (The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.)

PMwR 0.19-2

• 'split_trades' gains an argument 'drop.zero', for dropping zero-amount trades
• 'pl': fix a bug in printing in case of an initial position but no trades in journal
• 'as.journal(journal)' now evaluates to journal (instead of giving an error)
• the package now depends on R >= 3.5. R 3.5 was released in 2018.
• various minor changes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.19-1 (2023-06-05)

• the package now depends on R >= 3.3. That's because the macro \doi{} is now used in the docs. R 3.3 was released in 2016, so this requirement appears not too unreasonable.
• functions ".expand" and ".tree" are no longer exported, as they are used internally only
• the first argument of the (rarely-used) position method of 'journal' (i.e. 'journal.position') is now named 'amount', in alignment with the generic
• helper function '.pl_stats' is now documented
• various documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.19-0

• Version 0.19 is intended be the last one before the release of version 1.0.
• 'returns' gains an argument 'na.rm', currently with default TRUE, which matches the current behaviour. In a not-too-distant future version, the default will be changed to FALSE.
• 'returns' supports timestamps of class 'yearqtr' and 'yearmon', as provided by the package 'zoo'
• 'btest': function 'do.rebalance' may now return a logical vector with length equal to the number of assets, indicating which assets to rebalance
• a transpose method is now defined for holding-period 'returns', for the (rare) case that a returns matrix is to be transposed [before, this had required an explicit conversion with as.matrix, and otherwise would have resulted in an error]
• 'rc' ignores missing prices as along as corresponding weights are zero
• various minor bug fixes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.18-0 (2022-10-19)

• 'streaks' gains an argument 'relative', with default TRUE, which is the current behaviour. If FALSE, the function looks at differences instead of relative changes (returns), which is useful, for instance, for interest rates. For an example, see https://enricoschumann.net/notes/streaks-in-equity-returns-and-yield-changes.html
• 'btest': rebalance arithmetic is performed only for positions with non-zero change also in period 1, i.e. in the rare case when burn-in is 0, which allows NAs in prices. (For periods > 1, this behaviour had been introduced in version 0.10-0.)
• 'position': if 'when' is not specified, timestamps are now effectively ignored, even if they are NA
• There is an additional public Git repository at https://git.sr.ht/~enricoschumann/PMwR
• various minor bug fixes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.17-0 (2021-10-19)

• the print method for "rebalance" no longer ignores multipliers [note that this never affected the actual computations, only the printing of turnover and transaction values]
• calling 'returns' with a position/weights now warns if there are missing prices at rebalance times
• experimental: 'rc' provides alternative methods to compute performance contribution; it also gains rudimentary support for performance attribution (Brinson et al.)
• various minor bug fixes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.16-1 (2021-09-18)

• position: fix computing dates from timestamps in certain locales (timezones with large UTC offsets) in case the "when" keyword was used, as in position(J, when = "endofday") Thanks go to the CRAN team/Brian Ripley for helping to pinpoint the problem.

PMwR 0.16-0 (2021-01-19)

• returns: computations for rebalanced portfolios are more efficient, and function 'returns' now supports both fixed weights and fixed positions. When calling 'returns' with 'rebalance.when' and argument 'weights'/'position', the resulting 'contributions' no longer ignore argument 'pad'.
• 'unit_prices' now supports cashflows for different ids/accounts, even on the same timestamp. An attribute 'transactions' is attached: a data.frame of the transactions, for each id/account. Redundant columns are no longer returned, but they can easily be recovered (see Examples for ?unit_prices).
• 'div_adjust' supports several payments on the same timestamp
• various minor bug fixes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.15-1

• div_adjust: fix handling of dividends that occur on the first timestep

PMwR 0.15-0 (2020-10-19)

• 'valuation': argument 'price.table' has been renamed: price.table => vprice The function also gains a new argument 'use.names', with default FALSE. To keep the old behaviour, simply rename the argument. If 'use.names' is set to TRUE, column names are matched against instruments. In effect, argument 'vprice' in 'valuation' behaves in essentially the same way as argument 'vprice' of function 'pl'. For examples, see ?valuation and https://enricoschumann.net/notes/valuing-positions.html
• when a subset is taken from a 'pricetable', the result is no longer a pricetable but a numeric matrix. The behaviour is controlled by a new argument 'as.matrix'. For the old bevahiour, set this argument to FALSE, i.e. say p[...., ...., as.matrix = FALSE]
• the PMwR package now explicitly depends on R version >= 3.2
• new function 'is_valid_SEDOL'
• 'pl': it is now checked that custom valuation dates passed via 'along.timestamp' are in ascending order (and they now get sorted if they are not)
• 'rebalance' now warns about NAs in the 'price' input
• the summary method for journals is now properly documented
• various minor bug fixes and documentation updates. See the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.14-0 (2020-03-11)

• 'btest': handling of argument 'do.rebalance' has been fixed. It had not worked properly when set to "firstofquarter" or "lastofquarter". Thanks to Lutchmie Narine for reporting.
• 'btest': 'variations.settings' gains an option 'expand.grid'. If FALSE, 'btest' does not compute combinations of variations. See https://enricoschumann.net/notes/backtest-strategy-on-different-datasets.html for an example.
• 'streaks': the function now also allows to compute streaks relative to a benchmark
• 'streaks': default value for 'down' has been changed to '-up'
• 'journal': the summary method now allows aggregation by timestamp and instrument
• objects of class 'position' support the unary '!' operator: the result is a logical matrix of the same dimension as the original position
• 'div_adjust': support several splits on a single timestamp
• 'returns': the 'weights' argument needs no longer sum to one
• 'NAVseries': the toLatex method for summaries gains an argument 'include.bm', with default FALSE
• various minor bug fixes and documentation updates. See the ChangeLog for all details.

PMwR 0.13-0

• 'btest': fix handling of initial position -- with an initial position specified and burn-in set to zero, the suggested position now equals the initial position (as it does for a burn-in greater than zero)
• 'NAVseries': fix method, which did not work properly when 'start' or 'end' were not included in 'timestamp'
• 'NAVseries': add a 'lines' method
• 'returns': period "total" is now an alias for "itd" (inception to date)
• 'journal': argument 'reverse', for subsetting, has been renamed to 'invert' ('reverse' still works, but with a warning, and will be removed in the future). Also, for consistency, the argument now applies to numeric and logical subscripts as well.
• various documentation updates; new features are now described at https://enricoschumann.net/notes/PMwR/

PMwR 0.12-0 (2019-08-26)

• 'returns': fix returns computation for zoo series with a lag different from 1 and no padding (the timestamp of the resulting returns series was wrong)
• 'returns': returns will now be computed for period "itd" even when no timestamp is provided
• 'pl' gains a new argument 'footnotes' , with default TRUE. If FALSE, less information is printed for 'pl' objects. Also, open positions no longer produce a warning ("sum(amount) is not zero"), but only a message, which is only shown when 'footnotes' is TRUE.
• 'pricetable' supports shortcuts for setting up a pricetable with a single timestamp but several instruments. See the Examples at ?pricetable.
• 'valuation' now warns when there are missing values in 'multiplier', and gains an argument 'do.warn' to switch off the warning
• 'btest' works in more cases with NAs in prices: when 'convert.weights' is TRUE, only non-zero weights are converted. So as long as a strategy does not specify positions in series with missing prices, positions and so on can be computed.
• experimental: 'btest' now checks the 'dim' attribute of 'prices' (after having them unlisted, in the case of several assets). Only if none is found, 'as.matrix' is called. This allows alternative classes to be used for 'prices', as long as they define subsetting via integers/logicals in the same way as numeric matrices.
• there is now a textutils::toHTML method for 'position'; it currently only supports positions at a single point in time
• see the ChangeLog for all details

PMwR 0.11-1 (2019-06-03)

• div_adjust: fix handling of dividends for case additive = FALSE
• rebalance: 'drop.zero' now drops instruments for which 'current' and 'target' are the same, i.e. for which no rebalancing is necessary (before, it would only drop instruments for which both 'current' and 'target' are zero)
• a tutorial on backtesting is available at https://ssrn.com/abstract=3374195

PMwR 0.11-0 (2019-04-01)

• returns: 'weights' may now also be a matrix with as many rows as 'rebalance.when'. Also, rebalancing at the first timestamp is no longer implied (see ChangeLog entry of 2018-11-09 for details).
• position: new argument 'use.names', which allows to use names/colnames as instrument information. Also, matrix input is now treated specially; see examples at https://enricoschumann.net/notes/computing-positions.html
• NAVseries: new argument 'drop.NA'. Also, if 'NAV' inherits from 'btest', the function now calls 'as.NAVseries.btest'.
• summary.NAVseries: new argument 'bm' ("benchmark"). If set, a 'tracking.error' is computed. The summary method now can handle several NAVseries as inputs, which allows easier comparison of series.
• as.NAVseries.btest: method gains optional arguments 'instrument', 'title' and 'description'
• plot_trading_hours.R: fix axis-tick positions when 'label' is "days"
• functions 'scaleTrades' and 'splitTrades' have finally been removed (they had not been exported for a long time; see ChangeLog entry of 2017-06-23). Use drop-in replacements 'scale_trades' and 'split_trades' instead.
• split_trades: 'price' may now be missing (in which case NA is used)
• various documentation updates/fixes; see the ChangeLog for all details.

PMwR 0.10-0

• btest: support automatic computation of variations, both serially and in parallel. See new arguments 'variations', 'variations.settings' and 'replications'. See some examples at https://enricoschumann.net/notes/parallel-backtests.html
• new generic function 'streaks' with methods for zoo, NAVseries and numeric vectors
• new vignette on 'drawdowns and streaks'
• pl: In several cases in which profit/loss was set to NA, it now defaults (more appropriately) to 0. For instance, with a custom timestamp the realised/unrealised profit/loss before the first trade is now 0, not NA.
• quote32: the function now also recognises a colon (:) as a separator. The function can now parse more variations; see examples at https://enricoschumann.net/notes/treasury-bond-quotes.html
• instrument: new replacement method 'instrument<-.journal'
• drawdowns: new method for NAVseries
• valuation.position method is now exported (though still experimental)
• pl.btest: fixed passing of additional arguments
• returns: argument 'period' may also be 'hourly'
• scale1: argument 'when' may also be 'last'
• various documentation updates/fixes; see the ChangeLog for all details. The manual at https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html has also been updated.

PMwR 0.9-0

• summary.NAVseries: argument 'monthly' has been renamed: monthly => monthly.vol
• summary.NAVseries: new argument 'assume.daily', with default FALSE; when TRUE, numeric timestamps are considered daily data, e.g. for annualising returns
• NAVseries: add a 'window' method
• NAVseries: summary now includes recovery from drawdown
• journal: add an 'all.equal' method
• btest: new argument 'include.timestamp', with default TRUE
• returns: for portfolio returns, if a timestamp is specified, 'rebalance.when' is matched against this timestamp (e.g., 'rebalance.when' may be specified as Date when the timestamp is of class Date)

PMwR 0.8-0

• drawdowns: new generic function with methods for zoo and numeric vectors
• plot_trading_hours: improved support for daily series (interval becomes "1 day", etc.)
• pl: new argument 'do.sum'; if TRUE, P/L across instruments is summed
• pl: new argument 'pl.only'; if TRUE, return P/L as a numeric vector
• btest: if a timestamp of class Date or POSIXct is specified, burn-in 'b' may be an actual timestamp
• rebalance: new argument 'current.weights' with default FALSE; if TRUE, the current portfolio is assumed to be a vector of weights
• returns: add method for as.data.frame for holding-period returns
• the manual has been substantially revised. See https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html

PMwR 0.7-0

• scale1: objects that are modified by 'scale1' gain an attribute "scale1_origin", which provides the timestamp at which scaling starts
• btest: the handling of argument 'lag' has been fixed (the argument had been ignored in some situations)
• quote32: the function now also recognises a colon (:) as a separator
• pl: new method for data frames
• New vignettes: "Computing returns", "Treasury Quotes with 1/32 Fractions" and "Profit/Loss for Open Positions"

PMwR 0.6-0

• btest: two arguments have been renamed tradeOnOpen => trade.at.open assignInGlobals => Globals
• plot_trading_hours: two arguments have been renamed excludeWeekends => exclude.weekends do.plotAxis => do.plot.axis
• Function 'isValidISIN' is no longer available; use the drop-in replacement 'is_valid_ISIN' instead.
• Byte-compilation is now on by default.
• New vignette 'FinTeX'.
• New datasets DAX and REXP.
• New generic function instrument, also for replacement.
• NAVseries: new method 'toLatex.summary.NAVseries'; see the vignette for examples.
• pricetable: the function is now a generic, with a default and a zoo method. Methods for pricetable have been added (print, '[', as.matrix).
• quote32: the function now recognises both a hyphen (-) or single quote (') as a separator
• A more-comprehensive list of changes is available in the ChangeLog: https://enricoschumann.net/R/packages/PMwR/ChangeLog

PMwR 0.5-0

• A number of functions have been renamed: isValidISIN => is_valid_ISIN closeOnFirst => close_on_first plotTradingHours => plot_trading_hours scaleToUnity => scale_to_unity scaleTrades => scale_trades splitTrades => split_trades twExposure => tw_exposure For the time being, the old functions can still be called with PMwR:::<old-fun-name> but the old names shall be removed in a future version.
• New 'as.matrix' method for monthly holding-period returns, which places returns into a numeric matrix with years in rows and months in columns. For other holding periods, as.matrix is called on the raw numeric data.
• returns: argument 'period' may also be 'quarterly' or a single year, such as "2007"
• btest: 'do.signal' and 'do.rebalance' can also be the string 'lastofquarter' to rebalance on last day of quarter; or 'firstofquarter' to rebalance on first day of quarter
• A more-comprehensive list of changes is available in the ChangeLog: https://enricoschumann.net/R/packages/PMwR/ChangeLog

PMwR 0.4-0

• New functions 'unit_prices', for computing time-weighted returns, and 'rc', for computing return contributions.
• New helper functions '.expand' and '.tree', for displaying account hierachies.
• Various new methods: 'as.data.frame.position', 'summary.journal', 'as.zoo.position', 'pl.btest', 'toOrg.journal'.
• Support for (some) arithmetic operations on 'position' and 'quote32' objects.
• Updated manual chapter on computing returns: https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#computing-returns
• Updated manual chapter on backtesting: https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#backtesting

PMwR 0.3-4

• Moved function 'runStats' to a separate package 'runStats' https://enricoschumann.net/R/packages/runStats/ . The PMwR package contains only R code now, so no special tools are required for installing from source.
• There is a public Git repository at https://github.com/enricoschumann/PMwR

PMwR 0.1-96

• A draft of the manual chapter on computing profit and loss is available: https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#profit-and-loss

PMwR 0.1-90

• A draft of the manual chapter on scaling series is available: https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#scaling-series

PMwR 0.1-89

• A draft of the manual chapter on computing returns is available: https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#computing-returns

PMwR 0.1-81

• The PMwR package provides utilities for backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more. The package is still under heavy development. Please see the ChangeLog for updates.