plotPerformance: Plot Strategy Performance

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Plots performance of an object of class Strategy.

Usage

plotPerformance(object, which = NULL, of = "portfolio", from = NULL,
  until = NULL, use.backtest = FALSE, include.costs = TRUE,
  plot.params = TRUE, plot.params.names = NULL, plot.params.first = TRUE,
  ...)

## S4 method for signature 'Strategy'
plotPerformance(object, which = NULL,
  of = c("portfolio", "assets"), from = NULL, until = NULL,
  use.backtest = FALSE, include.costs = TRUE, plot.params = TRUE,
  plot.params.names = NULL, plot.params.first = TRUE, ...)

Arguments

object	An object of class Strategy.
which	Names or number of assets that should be included in performance. If a portfolio performance from only a subset of the assets is calculated, the weights are scaled accordingly.
of	Performance to be extracted from assets separately or the portfolio performance.
from	The date in character format "yyyy-MM-dd" or as date-object from which performance shall be plotted. If NULL, the start date of the performances is used.
until	The date in character format "yyyy-MM-dd" or as date-object until which performance shall be plotted. If NULL, the end date of the performances is used.
use.backtest	If TRUE, the signals from the backtesting output are considered for performance calculation. If FALSE, the signals from the normal strategy execution with the intial parameters are used.
include.costs	If FALSE, the fixed and relative trading costs are NOT considered for performance calculation. Default value is TRUE. As default values for costs are 0, this argument is redundant if no costs are given.
plot.params	If set to TRUE, the parameters used for the performance periods are plotted into the chart. Requires that use.backtest is set to TRUE.
plot.params.names	New parameter names to be shown can be supplied. Requires that use.backtest is set to TRUE to take effect.
plot.params.first	If TRUE, the parameter for the first period is plotted. Otherwise, the parameters are plot at the point on the x-axis, from which they are valid. Requires that use.backtest is set to TRUE to take effect.
...	Further arguments that can be passed to the underlying plot()-function.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Plot MA(200)-Strategy
plotPerformance(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Plot backtested MA(200)-Strategy
# plotPerformance(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

##End(Not run)

Strategy documentation built on May 2, 2019, 2:09 a.m.