NEWS

v1.0-1  (2024-10-19)

  o change URL to DOI, as requested by CRAN

v1.0-0  (2024-10-19)

  o '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.

  o when computing portfolio returns, 'returns' no longer
    ignores argument 'pad' when no rebalancing takes place

  o 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.

v0.19-6  (2024-09-17)

  o 'unit_prices': rename argument 'initial.shares' to
    'initial.units', and support its use. The function also
    gains arguments 'round.price' and 'round.units'.

  o '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.

  o 'pricetable' supports multivariate zoo series

  o 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.

v0.19-5  (2024-07-21)

  o fixed: 'rc' did not compute total contributions correctly
    when returns were not sorted in time

  o fixed: the zoo method of 'returns' no longer ignores
    argument 'na.rm'

  o '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.

  o 'rc' now supports (or where it did so already, gets
    documentation for) various computations, notably
    for linking single-period returns

  o the print methods for summaries of 'NAVseries' have
    been improved, notably in the multivariate case

  o 'instrument' methods have been added for 'NAVseries'

  o experimental: 'as.NAVseries' now splits a
    multivariate zoo-series into a list of NAVseries

  o documentation updates

v0.19-4  (2023-12-08)

  o the computations for 'position' are more efficient now

  o documentation updates

v0.19-3  (2023-10-19)

  o 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.)

v0.19-2  (2023-09-29)

  o 'split_trades' gains an argument 'drop.zero', for
    dropping zero-amount trades

  o 'pl': fix a bug in printing in case of an initial
    position but no trades in journal

  o 'as.journal(<journal>)' now evaluates to <journal>
    (instead of giving an error)

  o the package now depends on R >= 3.5. R 3.5 was released
    in 2018.

  o 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.

v0.19-1  (2023-06-05)

  o 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.

  o functions ".expand" and ".tree" are no longer
    exported, as they are used internally only

  o the first argument of the (rarely-used) position
    method of 'journal' (i.e. 'journal.position') is
    now named 'amount', in alignment with the generic

  o helper function '.pl_stats' is now documented

  o 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.

v0.19-0  (2023-05-31)

  o Version 0.19 is intended be the last one before the
    release of version 1.0.

  o '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.

  o 'returns' supports timestamps of class 'yearqtr' and
    'yearmon', as provided by the package 'zoo'

  o 'btest': function 'do.rebalance' may now return a
    logical vector with length equal to the number of
    assets, indicating which assets to rebalance

  o 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]

  o 'rc' ignores missing prices as along as
    corresponding weights are zero

  o 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.

v0.18-0  (2022-10-19)

  o '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

  o '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.)

  o 'position': if 'when' is not specified, timestamps
    are now effectively ignored, even if they are NA

  o There is an additional public Git repository at
    https://git.sr.ht/~enricoschumann/PMwR

  o 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.

v0.17-0  (2021-10-19)

  o 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]

  o calling 'returns' with a position/weights now warns if
    there are missing prices at rebalance times

  o experimental: 'rc' provides alternative methods to
    compute performance contribution; it also gains
    rudimentary support for performance attribution
    (Brinson et al.)

  o 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.

v0.16-1  (2021-09-18)

  o 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.

v0.16-0  (2021-01-19)

  o 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'.

  o '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).

  o 'div_adjust' supports several payments on the
    same timestamp

  o 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.

v0.15-1  (2020-10-20)

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

v0.15-0  (2020-10-19)

  o '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

  o 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]

  o the PMwR package now explicitly depends on R version >= 3.2

  o new function 'is_valid_SEDOL'

  o '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)

  o 'rebalance' now warns about NAs in the 'price' input

  o the summary method for journals is now properly
    documented

  o 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.

v0.14-0  (2020-03-11)

  o '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.

  o '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.

  o 'streaks': the function now also allows to compute
    streaks relative to a benchmark

  o 'streaks': default value for 'down' has been
    changed to '-up'

  o 'journal': the summary method now allows
    aggregation by timestamp and instrument

  o objects of class 'position' support the unary `!`
    operator: the result is a logical matrix of the
    same dimension as the original position

  o 'div_adjust': support several splits on a single
     timestamp

  o 'returns': the 'weights' argument needs no longer
     sum to one

  o 'NAVseries': the toLatex method for summaries
    gains an argument 'include.bm', with default FALSE

  o various minor bug fixes and documentation
    updates.  See the ChangeLog for all details.

v0.13-0  (2019-10-19)

  o '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)

  o 'NAVseries': fix method, which did not work
    properly when 'start' or 'end' were not included
    in 'timestamp'

  o 'NAVseries': add a 'lines' method

  o 'returns': period "total" is now an alias for
    "itd" (inception to date)

  o '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.

  o various documentation updates; new features are
    now described at
      https://enricoschumann.net/notes/PMwR/

v0.12-0  (2019-08-26)

  o '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)

  o 'returns': returns will now be computed for period
    "itd" even when no timestamp is provided

  o '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.

  o 'pricetable' supports shortcuts for setting up a
    pricetable with a single timestamp but several
    instruments. See the Examples at ?pricetable.

  o 'valuation' now warns when there are missing
    values in 'multiplier', and gains an argument
    'do.warn' to switch off the warning

  o '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.

  o 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.

  o there is now a textutils::toHTML method for
    'position'; it currently only supports positions
    at a single point in time

  o see the ChangeLog for all details

v0.11-1  (2019-06-02)

  o div_adjust: fix handling of dividends for case
    additive = FALSE

  o 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)

  o a tutorial on backtesting is available at
    https://ssrn.com/abstract=3374195

v0.11-0  (2019-04-01)

  o 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).

  o 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

  o NAVseries: new argument 'drop.NA'. Also, if 'NAV'
    inherits from 'btest', the function now calls
    'as.NAVseries.btest'.

  o 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.

  o as.NAVseries.btest: method gains optional arguments
    'instrument', 'title' and 'description'

  o plot_trading_hours.R: fix axis-tick positions when
    'label' is "days"

  o 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.

  o split_trades: 'price' may now be missing (in which
    case NA is used)

  o various documentation updates/fixes; see the
    ChangeLog for all details.

v0.10-0  (2018-10-19)

  o 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

  o new generic function 'streaks' with methods for
    zoo, NAVseries and numeric vectors

  o new vignette on 'drawdowns and streaks'

  o 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.

  o 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

  o instrument: new replacement method
    `instrument<-.journal`

  o drawdowns: new method for NAVseries

  o valuation.position method is now exported (though
    still experimental)

  o pl.btest: fixed passing of additional arguments

  o returns: argument 'period' may also be 'hourly'

  o scale1: argument 'when' may also be 'last'

  o 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.

v0.9-0  (2018-06-09)

  o summary.NAVseries: argument 'monthly' has been
    renamed:

        monthly   =>   monthly.vol

  o summary.NAVseries: new argument 'assume.daily',
    with default FALSE; when TRUE, numeric
    timestamps are considered daily data, e.g. for
    annualising returns

  o NAVseries: add a 'window' method

  o NAVseries: summary now includes recovery from
    drawdown

  o journal: add an 'all.equal' method

  o btest: new argument 'include.timestamp', with
    default TRUE

  o 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)

v0.8-0  (2018-04-30)

  o drawdowns: new generic function with methods for
    zoo and numeric vectors

  o plot_trading_hours: improved support for daily
    series (interval becomes "1 day", etc.)

  o pl: new argument 'do.sum'; if TRUE, P/L across
    instruments is summed

  o pl: new argument 'pl.only'; if TRUE, return P/L as
    a numeric vector

  o btest: if a timestamp of class Date or POSIXct is
    specified, burn-in 'b' may be an actual timestamp

  o rebalance: new argument 'current.weights' with
    default FALSE; if TRUE, the current portfolio is
    assumed to be a vector of weights

  o returns: add method for as.data.frame for
    holding-period returns

  o the manual has been substantially revised. See
    https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html

v0.7-0  (2018-01-01)

  o scale1: objects that are modified by 'scale1' gain
    an attribute "scale1_origin", which provides the
    timestamp at which scaling starts

  o btest: the handling of argument 'lag' has been
    fixed (the argument had been ignored in some
    situations)

  o quote32: the function now also recognises a
    colon (:) as a separator

  o pl: new method for data frames

  o New vignettes: "Computing returns", "Treasury
    Quotes with 1/32 Fractions" and "Profit/Loss for
    Open Positions"

v0.6-0  (2017-11-16)

  o btest: two arguments have been renamed

        tradeOnOpen      =>  trade.at.open
        assignInGlobals  =>  Globals

  o plot_trading_hours: two arguments have been renamed

        excludeWeekends  =>  exclude.weekends
        do.plotAxis      =>  do.plot.axis

  o Function 'isValidISIN' is no longer available; use
    the drop-in replacement 'is_valid_ISIN' instead.

  o Byte-compilation is now on by default.

  o New vignette 'FinTeX'.

  o New datasets DAX and REXP.

  o New generic function instrument, also for
    replacement.

  o NAVseries: new method 'toLatex.summary.NAVseries';
    see the vignette for examples.

  o pricetable: the function is now a generic, with a
    default and a zoo method. Methods for pricetable
    have been added (print, `[`, as.matrix).

  o quote32: the function now recognises both a hyphen
    (-) or single quote (') as a separator

  o A more-comprehensive list of changes is available
    in the ChangeLog:
    https://enricoschumann.net/R/packages/PMwR/ChangeLog

v0.5-0  (2017-06-23)

  o 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.

  o 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.

  o returns: argument 'period' may also be 'quarterly'
    or a single year, such as "2007"

  o 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

  o A more-comprehensive list of changes is available
    in the ChangeLog:
    https://enricoschumann.net/R/packages/PMwR/ChangeLog

v0.4-0  (2017-02-07)

  o New functions 'unit_prices', for computing
    time-weighted returns, and 'rc', for computing
    return contributions.

  o New helper functions '.expand' and '.tree', for
    displaying account hierachies.

  o Various new methods: 'as.data.frame.position',
    'summary.journal', 'as.zoo.position', 'pl.btest',
    'toOrg.journal'.

  o Support for (some) arithmetic operations on
    'position' and 'quote32' objects.

  o Updated manual chapter on computing returns:
    https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#computing-returns

  o Updated manual chapter on backtesting:
    https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#backtesting

v0.3-4  (2016-06-13)

  o 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.

  o There is a public Git repository at
    https://github.com/enricoschumann/PMwR

v0.1-96  (2016-03-13)

  o 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

v0.1-90  (2016-02-25)

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

v0.1-89  (2016-02-19)

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

v0.1-81  (2015-12-08)

  o 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.