Nothing
R/charts.PerformanceSummary.R
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
#' Create combined wealth index, period performance, and drawdown chart
#'
#' For a set of returns, create a wealth index chart, bars for per-period
#' performance, and underwater chart for drawdown.
#'
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param Rf risk free rate, in same period as your returns
#' @param p confidence level for calculation, default p=.95
#' @param main set the chart title, as in \code{plot}
#' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
#' default TRUE
#' @param methods Used to select the risk parameter of trailing \code{width}
#' returns to use in the \code{\link{chart.BarVaR}} panel: May be any of:
#' \itemize{ \item None - does not add a line, \item ModifiedVaR - uses
#' Cornish-Fisher modified VaR, \item GaussianVaR - uses traditional Value at
#' Risk, \item HistoricalVaR - calculates historical Value at Risk, \item
#' ModifiedES - uses Cornish-Fisher modified Expected Shortfall, \item
#' GaussianES - uses traditional Expected Shortfall, \item HistoricalES -
#' calculates historical Expected Shortfall, \item StdDev - per-period standard
#' deviation }
#' @param begin Align shorter series to: \itemize{ \item first - prior value of
#' the first column given for the reference or longer series or, \item axis -
#' the initial value (1 or zero) of the axis. } passthru to
#' \code{\link{chart.CumReturns}}
#' @param event.labels TRUE/FALSE whether or not to display lines and labels
#' for historical market shock events
#' @param wealth.index if \code{wealth.index} is \code{TRUE}, shows the "value
#' of $1", starting the cumulation of returns at 1 rather than zero
#' @param width number of periods to apply rolling function window over
#' @param gap numeric number of periods from start of series to use to train
#' risk calculation
#' @param ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to
#' \code{\link{plot}}, default FALSE
#' @param legend.loc sets the legend location in the top chart. Can be set to
#' NULL or nine locations on the chart: bottomright, bottom, bottomleft, left,
#' topleft, top, topright, right, or center.
#' @param plot.engine choose the plot engine you wish to use"
#' ggplot2, plotly, and default
#' @param \dots any other passthru parameters
#' @note Most inputs are the same as "\code{\link{plot}}" and are principally
#' included so that some sensible defaults could be set.
#' @author Peter Carl
#' @seealso \code{\link{chart.CumReturns}} \cr \code{\link{chart.BarVaR}} \cr
#' \code{\link{chart.Drawdown}}
###keywords ts multivariate distribution models hplot
#' @examples
#'
#' data(edhec)
#' charts.PerformanceSummary(edhec[,c(1,13)])
#'
#' @export
charts.PerformanceSummary <-
function (R, Rf = 0,
main = NULL,
geometric=TRUE,
methods = "none",
width = 0,
event.labels = NULL,
ylog = FALSE,
wealth.index = FALSE,
gap = 12,
begin=c("first","axis"),
legend.loc="topleft",
p=0.95,
plot.engine="default",
...)
{ # @author Peter Carl
# DESCRIPTION:
# A wrapper to create a wealth index chart, bars for monthly peRformance,
# and underwater chart for drawdown.
# Inputs:
# R: a matrix, data frame, or timeSeries, usually a set of monthly returns.
# The first column is assumed to be the returns of interest, the next
# columns are assumed to be relevant benchmarks for comparison.
# Rf: this is the risk free rate. Remember to set this to the same
# periodicity as the data being passed in.
# method: Used to select the risk parameter to use in the chart.BarVaR. May
# be any of:
# modVaR - uses CF modified VaR
# VaR - uses traditional Value at Risk
# StdDev - monthly standard deviation of trailing 12 month returns
#
# Outputs:
# A stack of three related timeseries line charts
# FUNCTION:
begin = begin[1]
x = checkData(R)
colnames = colnames(x)
ncols = ncol(x)
#Argument Check
if(plot.engine != "default"&&
plot.engine != "ggplot2"&&
plot.engine != "plotly"){
warning('Please use correct arguments:
"default","ggplot2","plotly".
Ploting chart using built-in engine now.')
plot.engine = "default"
}
# This repeats a bit of code from chart.CumReturns, but it's intended
# to align the start dates of all three charts. Basically, it assumes
# that the first column in the list is the column of interest, and
# starts everything from that start date
length.column.one = length(x[,1])
# find the row number of the last NA in the first column
start.row = 1
start.index = 0
while(is.na(x[start.row,1])){
start.row = start.row + 1
}
x = x[start.row:length.column.one,]
if(ncols > 1)
legend.loc = legend.loc
else
legend.loc = NULL
if(is.null(main))
main = paste(colnames[1],"Performance", sep=" ")
if(ylog)
wealth.index = TRUE
op <- par(no.readonly=TRUE)
# First, we lay out the graphic as a three row, one column format
# plot.new()
# to see the resulting layout, use layout.show(3)
# mar: a numerical vector of the form c(bottom, left, top, right) which
# gives the number of lines of margin to be specified on the four sides
# of the plot. The default is c(5, 4, 4, 2) + 0.1
# The first row is the cumulative returns line plot
par(oma = c(2, 0, 4, 0), mar=c(1,4,4,2))
# The second row is the monthly returns bar plot
par(mar=c(1,4,0,2))
freq = periodicity(x)
switch(freq$scale,
seconds = { date.label = "Second"},
minute = { date.label = "Minute"},
hourly = {date.label = "Hourly"},
daily = {date.label = "Daily"},
weekly = {date.label = "Weekly"},
monthly = {date.label = "Monthly"},
quarterly = {date.label = "Quarterly"},
yearly = {date.label = "Annual"}
)
# The third row is the underwater plot
par(mar=c(5,4,0,2))
# Plot the above processed charts
switch(plot.engine,
default=
{# Plot the cumulative returns
plot_object <- chart.CumReturns(x,
main = "Cumulative Return",
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "default",
...)
# Plot the BarVar diagrams
plot_object <- chart.BarVaR(x,
main = paste(date.label,"Return"),
xaxis = FALSE,
width = width,
ylab = paste(date.label,"Return"),
methods = methods,
event.labels = NULL,
ylog=FALSE,
gap = gap, p=p,
add = TRUE,
plot.engine = "default",
...)
# Plot the Underwater plot
plot_object <- chart.Drawdown(x,
geometric = geometric,
main = "Drawdown",
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "default",
...)
# If we wanted to add a fourth row with the table of monthly returns
#par(mar=c(0,0,0,0))
#textplot(table.Returns(as.matrix(R)),cex=.7,cmar=1.5,rmar=0.5,halign="center", valign="center")
print(plot_object)
title(main, outer = TRUE)
par(op)},
ggplot2 =
{
plot_object_CumReturn <- chart.CumReturns(x,
main = "Cumulative Return",
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "ggplot2",
...)
# plot_object_BarVar <- chart.BarVaR(x,
# main = paste(date.label,"Return"),
# xaxis = FALSE,
# width = width,
# ylab = paste(date.label,"Return"),
# methods = methods,
# event.labels = NULL,
# ylog=FALSE,
# gap = gap, p=p,
# add = TRUE,
# plot.engine = "ggplot2",
# ...)
plot_object_Drawdown <- chart.Drawdown(x,
geometric = geometric,
main = "Drawdown",
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "ggplot2",
...)
plot_object <- gridExtra::grid.arrange(plot_object_CumReturn,
plot_object_Drawdown,
nrow = 2)
return(plot_object)
},
plotly =
{
plot_object_CumReturn <- chart.CumReturns(x,
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "plotly",
...)
# Legacy code of BarVar
# plot_object_BarVar <- chart.BarVaR(x,
# main = paste(date.label,"Return"),
# xaxis = FALSE,
# width = width,
# ylab = paste(date.label,"Return"),
# methods = methods,
# event.labels = NULL,
# ylog=FALSE,
# gap = gap, p=p,
# add = TRUE,
# plot.engine = "plotly",
# ...)
plot_object_Drawdown <- chart.Drawdown(x,
geometric = geometric,
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "plotly",
...)
plot_object = plotly::subplot(plot_object_CumReturn,
plot_object_Drawdown,
nrows = 2)
return(plot_object)
}
)
}
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################
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PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
#' Create combined wealth index, period performance, and drawdown chart
#'
#' For a set of returns, create a wealth index chart, bars for per-period
#' performance, and underwater chart for drawdown.
#'
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param Rf risk free rate, in same period as your returns
#' @param p confidence level for calculation, default p=.95
#' @param main set the chart title, as in \code{plot}
#' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
#' default TRUE
#' @param methods Used to select the risk parameter of trailing \code{width}
#' returns to use in the \code{\link{chart.BarVaR}} panel: May be any of:
#' \itemize{ \item None - does not add a line, \item ModifiedVaR - uses
#' Cornish-Fisher modified VaR, \item GaussianVaR - uses traditional Value at
#' Risk, \item HistoricalVaR - calculates historical Value at Risk, \item
#' ModifiedES - uses Cornish-Fisher modified Expected Shortfall, \item
#' GaussianES - uses traditional Expected Shortfall, \item HistoricalES -
#' calculates historical Expected Shortfall, \item StdDev - per-period standard
#' deviation }
#' @param begin Align shorter series to: \itemize{ \item first - prior value of
#' the first column given for the reference or longer series or, \item axis -
#' the initial value (1 or zero) of the axis. } passthru to
#' \code{\link{chart.CumReturns}}
#' @param event.labels TRUE/FALSE whether or not to display lines and labels
#' for historical market shock events
#' @param wealth.index if \code{wealth.index} is \code{TRUE}, shows the "value
#' of $1", starting the cumulation of returns at 1 rather than zero
#' @param width number of periods to apply rolling function window over
#' @param gap numeric number of periods from start of series to use to train
#' risk calculation
#' @param ylog TRUE/FALSE set the y-axis to logarithmic scale, similar to
#' \code{\link{plot}}, default FALSE
#' @param legend.loc sets the legend location in the top chart. Can be set to
#' NULL or nine locations on the chart: bottomright, bottom, bottomleft, left,
#' topleft, top, topright, right, or center.
#' @param plot.engine choose the plot engine you wish to use"
#' ggplot2, plotly, and default
#' @param \dots any other passthru parameters
#' @note Most inputs are the same as "\code{\link{plot}}" and are principally
#' included so that some sensible defaults could be set.
#' @author Peter Carl
#' @seealso \code{\link{chart.CumReturns}} \cr \code{\link{chart.BarVaR}} \cr
#' \code{\link{chart.Drawdown}}
###keywords ts multivariate distribution models hplot
#' @examples
#'
#' data(edhec)
#' charts.PerformanceSummary(edhec[,c(1,13)])
#'
#' @export
charts.PerformanceSummary <-
function (R, Rf = 0,
main = NULL,
geometric=TRUE,
methods = "none",
width = 0,
event.labels = NULL,
ylog = FALSE,
wealth.index = FALSE,
gap = 12,
begin=c("first","axis"),
legend.loc="topleft",
p=0.95,
plot.engine="default",
...)
{ # @author Peter Carl
# DESCRIPTION:
# A wrapper to create a wealth index chart, bars for monthly peRformance,
# and underwater chart for drawdown.
# Inputs:
# R: a matrix, data frame, or timeSeries, usually a set of monthly returns.
# The first column is assumed to be the returns of interest, the next
# columns are assumed to be relevant benchmarks for comparison.
# Rf: this is the risk free rate. Remember to set this to the same
# periodicity as the data being passed in.
# method: Used to select the risk parameter to use in the chart.BarVaR. May
# be any of:
# modVaR - uses CF modified VaR
# VaR - uses traditional Value at Risk
# StdDev - monthly standard deviation of trailing 12 month returns
#
# Outputs:
# A stack of three related timeseries line charts
# FUNCTION:
begin = begin[1]
x = checkData(R)
colnames = colnames(x)
ncols = ncol(x)
#Argument Check
if(plot.engine != "default"&&
plot.engine != "ggplot2"&&
plot.engine != "plotly"){
warning('Please use correct arguments:
"default","ggplot2","plotly".
Ploting chart using built-in engine now.')
plot.engine = "default"
}
# This repeats a bit of code from chart.CumReturns, but it's intended
# to align the start dates of all three charts. Basically, it assumes
# that the first column in the list is the column of interest, and
# starts everything from that start date
length.column.one = length(x[,1])
# find the row number of the last NA in the first column
start.row = 1
start.index = 0
while(is.na(x[start.row,1])){
start.row = start.row + 1
}
x = x[start.row:length.column.one,]
if(ncols > 1)
legend.loc = legend.loc
else
legend.loc = NULL
if(is.null(main))
main = paste(colnames[1],"Performance", sep=" ")
if(ylog)
wealth.index = TRUE
op <- par(no.readonly=TRUE)
# First, we lay out the graphic as a three row, one column format
# plot.new()
# to see the resulting layout, use layout.show(3)
# mar: a numerical vector of the form c(bottom, left, top, right) which
# gives the number of lines of margin to be specified on the four sides
# of the plot. The default is c(5, 4, 4, 2) + 0.1
# The first row is the cumulative returns line plot
par(oma = c(2, 0, 4, 0), mar=c(1,4,4,2))
# The second row is the monthly returns bar plot
par(mar=c(1,4,0,2))
freq = periodicity(x)
switch(freq$scale,
seconds = { date.label = "Second"},
minute = { date.label = "Minute"},
hourly = {date.label = "Hourly"},
daily = {date.label = "Daily"},
weekly = {date.label = "Weekly"},
monthly = {date.label = "Monthly"},
quarterly = {date.label = "Quarterly"},
yearly = {date.label = "Annual"}
)
# The third row is the underwater plot
par(mar=c(5,4,0,2))
# Plot the above processed charts
switch(plot.engine,
default=
{# Plot the cumulative returns
plot_object <- chart.CumReturns(x,
main = "Cumulative Return",
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "default",
...)
# Plot the BarVar diagrams
plot_object <- chart.BarVaR(x,
main = paste(date.label,"Return"),
xaxis = FALSE,
width = width,
ylab = paste(date.label,"Return"),
methods = methods,
event.labels = NULL,
ylog=FALSE,
gap = gap, p=p,
add = TRUE,
plot.engine = "default",
...)
# Plot the Underwater plot
plot_object <- chart.Drawdown(x,
geometric = geometric,
main = "Drawdown",
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "default",
...)
# If we wanted to add a fourth row with the table of monthly returns
#par(mar=c(0,0,0,0))
#textplot(table.Returns(as.matrix(R)),cex=.7,cmar=1.5,rmar=0.5,halign="center", valign="center")
print(plot_object)
title(main, outer = TRUE)
par(op)},
ggplot2 =
{
plot_object_CumReturn <- chart.CumReturns(x,
main = "Cumulative Return",
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "ggplot2",
...)
# plot_object_BarVar <- chart.BarVaR(x,
# main = paste(date.label,"Return"),
# xaxis = FALSE,
# width = width,
# ylab = paste(date.label,"Return"),
# methods = methods,
# event.labels = NULL,
# ylog=FALSE,
# gap = gap, p=p,
# add = TRUE,
# plot.engine = "ggplot2",
# ...)
plot_object_Drawdown <- chart.Drawdown(x,
geometric = geometric,
main = "Drawdown",
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "ggplot2",
...)
plot_object <- gridExtra::grid.arrange(plot_object_CumReturn,
plot_object_Drawdown,
nrow = 2)
return(plot_object)
},
plotly =
{
plot_object_CumReturn <- chart.CumReturns(x,
xaxis = FALSE,
legend.loc = legend.loc,
event.labels = event.labels,
ylog = ylog,
wealth.index = wealth.index,
begin = begin,
geometric = geometric,
ylab="Cumulative Return",
plot.engine = "plotly",
...)
# Legacy code of BarVar
# plot_object_BarVar <- chart.BarVaR(x,
# main = paste(date.label,"Return"),
# xaxis = FALSE,
# width = width,
# ylab = paste(date.label,"Return"),
# methods = methods,
# event.labels = NULL,
# ylog=FALSE,
# gap = gap, p=p,
# add = TRUE,
# plot.engine = "plotly",
# ...)
plot_object_Drawdown <- chart.Drawdown(x,
geometric = geometric,
ylab = "Drawdown",
event.labels = NULL,
ylog=FALSE,
add = TRUE,
plot.engine = "plotly",
...)
plot_object = plotly::subplot(plot_object_CumReturn,
plot_object_Drawdown,
nrows = 2)
return(plot_object)
}
)
}
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################
Try the PerformanceAnalytics package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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