Question

‘sI am new to R and even more to ts objects. I try to use the package PerformanceAnalytics on a vector from a dataframe (df).

I have the following data frame:

    row.names   Date    PnL
1   22  1992-01-02  -1.751133e-02
2   23  1992-01-03  -1.586737e-02
3   24  1992-01-06  -2.898982e-02

I tried:

  TestS=SharpeRatio.annualized(df[,"PnL"],Rf=0,scale=252)
  TestS=SharpeRatio.annualized(as.ts(df[,"PnL"]),Rf=0,scale=252)

It returns respectively the error in the object and:

Error in checkData(R, method = “xts”) :
The data cannot be converted into a time series. If you are trying to pass in names from a data object with one column, you should use the form ‘data[rows, columns, drop = FALSE]’. Rownames should have standard date formats, such as ‘1985-03-15’

dput(df[,"PnL")=0.00994504296273811, 0.00156467225423175, 0.00976137048829638, etc.
dputdf[,"Date")=8036, 8037, 8040, 8041,etc.

The package’s help says the function works on vector. I don’t have any NA, and therefore I don’t see why it does not work.

Answer 1

First, you need to convert your data frame to an xts object:

dfx = xts(df$PnL, order.by=as.Date(df$Date))

Then you can do:

TestS = SharpeRatio.annualized(dfx, Rf=0, scale=252)

Or whatever else you need to do.