Profit factor
One of the most vital statistics of any systematic trading strategy is the profit factor. The profit factor is how many dollars you make for each dollar you lose. A profit factor above 1 means your strategy is profitable. A profit factor below 1 means you should head back to the drawing board.
In this exercise, you will explore the profit factor in your strategy by creating an object called tstats
that displays the trade statistics for your system. In general, trade statistics are generated by using the tradeStats()
command.
This exercise is part of the course
Financial Trading in R
Exercise instructions
- Use
tradeStats()
to create an object containing the trade statistics in your portfolio. Save this aststats
. - Use the object
tstats
object along with$
andProfit.Factor
to report the profit factor forSPY
. Is your strategy profitable?
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Get the tradeStats for your portfolio
tstats <- tradeStats(Portfolios = ___)
# Print the profit factor
___