backtestGraphics: Interactive Graphics for Portfolio Data

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Creates an interactive graphics interface to visualize backtest results of different financial instruments, such as equities, futures, and credit default swaps. The package does not run backtests on the given data set but displays a graphical explanation of the backtest results. Users can look at backtest graphics for different instruments, investment strategies, and portfolios. Summary statistics of different portfolio holdings are shown in the left panel, and interactive plots of profit and loss (P\&L), net market value (NMV) and gross market value (GMV) are displayed in the right panel.

Author
as.person(c( "David Kane <dave.kane@gmail.com> [aut]", "Ziqi Lu <ziqi.lu@williams.edu> [aut]", "Fan Zhang <fan.zhang@williams.edu> [aut]", "Miller Zijie Zhu <zijie.miller.zhu@gmail.com> [aut]" ))
Date of publication
2015-10-21 10:01:42
Maintainer
Miller Zijie Zhu <zijie.miller.zhu@gmail.com>
License
GPL-3
Version
0.1.6

View on CRAN

Man pages

backtestGraphics
Interactive Backtest Graphics
backtestGraphics-package
A package to visualize backtest results
best_worst_month
Find the best-performing and the worst-performing months
best_worst_three
Find the three best-performing and worst-performing...
calc_pnl
Calculate cumulative pnl, mean pnl, dollar sharpe ratio
cleanup_column
Clean up the input data set
commodity
Commodity Futures Data from 2003 to 2005.
credit
Credit Default Swap Data from 2007 to 2009.
cumpnl_plot
Draw an interactive line plot for cumulative P&L
drawdown
The Three Biggest Drawdowns in the portfolio
equity
Equity Data from 2005 to 20014.
interactive_plot
Interactive plot with dygraph
next_trading_day
Next trading day
slice_data
Slice Data Set
stat_calculation
Calculate Statistics
sum_data
Summarize data for the overall portfolio
trade_freq
Find Trading Frequency

Files in this package

backtestGraphics
backtestGraphics/inst
backtestGraphics/inst/doc
backtestGraphics/inst/doc/backtestGraphics.Rnw
backtestGraphics/inst/doc/backtestGraphics.R
backtestGraphics/inst/doc/backtestGraphics.pdf
backtestGraphics/tests
backtestGraphics/tests/testthat
backtestGraphics/tests/testthat/test_best_worst_three.R
backtestGraphics/tests/testthat/test_best_worst_month.R
backtestGraphics/tests/testthat/test_cleanup_column.R
backtestGraphics/tests/testthat/test_trade_freq.RData
backtestGraphics/tests/testthat/test_stat_calculation.R
backtestGraphics/tests/testthat/test_cleanup_column.RData
backtestGraphics/tests/testthat/test_calc_pnl.R
backtestGraphics/tests/testthat/test_calc_pnl.RData
backtestGraphics/tests/testthat/test_best_worst_month.RData
backtestGraphics/tests/testthat/test_stat_calculation.RData
backtestGraphics/tests/testthat/test_trade_freq.R
backtestGraphics/tests/testthat/test_best_worst_three.RData
backtestGraphics/tests/test-all.R
backtestGraphics/NAMESPACE
backtestGraphics/data
backtestGraphics/data/credit.RData
backtestGraphics/data/commodity.RData
backtestGraphics/data/equity.RData
backtestGraphics/data/datalist
backtestGraphics/R
backtestGraphics/R/slice_data.R
backtestGraphics/R/commodity.R
backtestGraphics/R/cleanup_column.R
backtestGraphics/R/credit.R
backtestGraphics/R/trade_freq.R
backtestGraphics/R/calc_pnl.R
backtestGraphics/R/cumpnl_plot.R
backtestGraphics/R/stat_calculation.R
backtestGraphics/R/next_trading_day.R
backtestGraphics/R/sum_data.R
backtestGraphics/R/backtestGraphics-package.R
backtestGraphics/R/equity.R
backtestGraphics/R/best_worst_month.R
backtestGraphics/R/drawdown.R
backtestGraphics/R/best_worst_three.R
backtestGraphics/R/backtestGraphics.R
backtestGraphics/R/interactive_plot.R
backtestGraphics/vignettes
backtestGraphics/vignettes/RJournal.sty
backtestGraphics/vignettes/img
backtestGraphics/vignettes/img/plots.png
backtestGraphics/vignettes/img/detail.png
backtestGraphics/vignettes/img/dropdown.png
backtestGraphics/vignettes/img/summary.png
backtestGraphics/vignettes/img/datasummary.png
backtestGraphics/vignettes/img/overallscreen.png
backtestGraphics/vignettes/backtestGraphics.Rnw
backtestGraphics/vignettes/backtestGraphics.bib
backtestGraphics/vignettes/inconsolata.sty
backtestGraphics/vignettes/trimspaces.sty
backtestGraphics/vignettes/environ.sty
backtestGraphics/vignettes/RJwrapper.tex
backtestGraphics/README.md
backtestGraphics/MD5
backtestGraphics/build
backtestGraphics/build/vignette.rds
backtestGraphics/DESCRIPTION
backtestGraphics/man
backtestGraphics/man/equity.Rd
backtestGraphics/man/slice_data.Rd
backtestGraphics/man/stat_calculation.Rd
backtestGraphics/man/backtestGraphics-package.Rd
backtestGraphics/man/cumpnl_plot.Rd
backtestGraphics/man/interactive_plot.Rd
backtestGraphics/man/credit.Rd
backtestGraphics/man/best_worst_three.Rd
backtestGraphics/man/drawdown.Rd
backtestGraphics/man/calc_pnl.Rd
backtestGraphics/man/cleanup_column.Rd
backtestGraphics/man/commodity.Rd
backtestGraphics/man/next_trading_day.Rd
backtestGraphics/man/backtestGraphics.Rd
backtestGraphics/man/sum_data.Rd
backtestGraphics/man/trade_freq.Rd
backtestGraphics/man/best_worst_month.Rd