Struct

Asset

These structs contain the price or return values, the timestamp information, the scaling factor to annualize the returns, the frequency of returns, the id, and the exchange the asset is traded on.

If AssetReturn(ticker::String,from::TimeType,to::TimeType,freq::String) is called data is automatically downloaded using YFinance.jl and the exchange, freq, and scale are automatically stored/calculated. The package calculates the scale assuming 252 trading days in a year. Furthermore, the exchange is important to accurately aggregate intra-day data (the trading hours in a day are different for exchanges across the world).

PerformanceAnalytics.AssetPrice — Type

AssetPrice(ticker::String,from::TimeType,to::TimeType,freq::String;exchange_local_time=true)

Generates a AssetPrice struct using YFinance.jl.

Arguments

ticker the Yahoo Finance ticker
from a start time/date (either a ::Date or ::DateTime)
to a end time/date (either a ::Date or ::DateTime)
freq the frequency of data. One of "3mo","1mo","1wk","5d","1d",1h","90m","60m","30m","15m","5m","2m","1m"
exchangelocaltime use the local time of the exchange as the timestamp (defaults to true)

Returns

AssetPrice

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PerformanceAnalytics.AssetReturn — Type

AssetReturn(x::AssetPrice)

Calculates the return from the price series of the AssetPrice and returns a AssetReturn.

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AssetReturn(ticker::String,from::TimeType,to::TimeType,freq::String)

Generates a AssetReturn struct using YFinance.jl. Internally calls AssetPrice and then calculates returns from the price series.

Arguments

ticker the Yahoo Finance ticker
from a start time/date (either a ::Date or ::DateTime)
to a end time/date (either a ::Date or ::DateTime)
freq the frequency of data. One of "3mo","1mo","1wk","5d","1d",1h","90m","60m","30m","15m","5m","2m","1m"
exchangelocaltime use the local time of the exchange as the timestamp (defaults to true)

Returns

AssetReturn

source