backtest.plot: generate plots of the cumulative returns and drawdown for...

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

generate plots of the cumulative returns and drawdown for back-testing

Description

generate plots of the cumulative returns and drawdown for back-testing

Usage

backtest.plot(
  R,
  log_return = FALSE,
  drawdown_on = 1,
  plotType = "both",
  main = NULL,
  colorSet = NULL,
  ltySet = NULL,
  lwdSet = NULL
)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
log_return	arithmetic return or log return, the default is arithmetic return
drawdown_on	the plot will shadow the full time period of the maximum drawdown and recovery of the first portfolio. Use number (e.g. 1, 2, 3) to indicate which portfolio drawdown interval you wish to track, or NULL to not shadow any period.
plotType	"cumRet", "drawdown", or the default is both
main	users can design title by providing a character of main
colorSet	users can design the color by providing a vector of color
ltySet	users can design lty by providing a vector of lty
lwdSet	users can design lwd by providing a vector of lwd

Author(s)

Peter Carl, Xinran Zhao, Yifu Kang

PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.