chart_PerfSummary: Cumulative performance and drawdown summary.
In RTL: Risk Tool Library - Trading, Risk, Analytics for Commodities

chart_PerfSummary

R Documentation

Cumulative performance and drawdown summary.

Description

Multi Asset Display of Cumulative Performance and Drawdowns

Usage

chart_PerfSummary(
  ret = ret,
  geometric = TRUE,
  main = "Cumulative Returns and Drawdowns",
  linesize = 1.25
)

Arguments

`ret`	Wide dataframe univariate or multivariate of percentage returns. `tibble`
`geometric`	Use geometric returns TRUE or FALSE. `logical`
`main`	Chart title. `character`
`linesize`	Size of lines in chart and legend. `numeric`

Value

Cumulative performance and drawdown charts. ggplot

Author(s)

Philippe Cote

Examples

ret <- data.frame(
  date = seq.Date(Sys.Date() - 60, Sys.Date(), 1),
  CL01 = rnorm(61, 0, .01), RB01 = rnorm(61, 0, 0.02)
)
chart_PerfSummary(ret = ret,
geometric = TRUE,
main = "Cumulative Returns and Drawdowns",
linesize = 1.25)

RTL documentation built on April 4, 2025, 2:20 a.m.