#Portfolio Management with R

#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).
• Computing profit/loss and returns: See ?returns, ?rc, ?pl or ?unit_prices.

All details are in the manual. New features are often described in these notes.

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

#Installation

The latest stable version of the package is available from CRAN. The latest development version is available from 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://gitlab.com/enricoschumann/PMwR and https://github.com/enricoschumann/PMwR.