util_profit_factor function

Calculate Profit Factor

Calculate profit factor using a data vector with the trading results

util_profit_factor(x)

Arguments

• x: column vector with profit or loss of the orders for one system

Returns

function should calculate profit factor for this vector and return one value also as vector

Examples

library(magrittr)
library(dplyr)
library(lazytrade)
data(profit_factor_data)
profit_factor_data %>%
   group_by(X1) %>%
   summarise(PnL = sum(X5),
             NumTrades = n(),
             PrFact = util_profit_factor(X5)) %>%
   select(PrFact) %>% head(1) %>% round(3)

Author(s)

(C) 2019 Vladimir Zhbanko