xyplot.pbo: PBO xy-plots

In pbo: Probability of Backtest Overfitting

PBO xy-plots

Description

Draws an annotated plot of performance degradation and probability of loss.

Usage

## S3 method for class 'pbo'
xyplot(
  x,
  data = NULL,
  plotType = "cscv",
  show_eqn = TRUE,
  show_threshold = TRUE,
  show_config = TRUE,
  show_rug = TRUE,
  show_prob = TRUE,
  show_grid = TRUE,
  increment = 0.01,
  osr_threshold = 0,
  sel_threshold = 0,
  xlab,
  ylab,
  main,
  lwd = 1,
  ylab_left,
  ylab_right,
  col_bar,
  col_line,
  col_sd1 = "#3366cc",
  col_sd2 = "#339999",
  lty_sd = c(1, 2, 4),
  ...
)

Arguments

x	a pbo object as returned by pbo.
data	should not be used
plotType	one of cscv, degradation, dominance, pairs, ranks or selection.
show_eqn	whether to show the line equation annotation, default TRUE
show_threshold	whether to show the probability of loss annotation, default TRUE
show_config	whether to show the study dimension annotations, default TRUE
show_rug	whether to show scatter rugs near the axes, default TRUE
show_prob	whether to show the probability value in dominance plot, default TRUE
show_grid	whether to show the panel grid, default TRUE
increment	stochastic dominance distribution generator increment, e.g. 0.1 steps
osr_threshold	out-of-sample rank threshold for filtering, default 0
sel_threshold	selection frequency threshold for filtering, default 0
xlab	x-axis label, default computed if not provided
ylab	y-axis label, default computed if not provided
main	plot title, default computed if not provided
lwd	line width, default 1, passed to panels and legends
ylab_left	dominance plot left-hand axis label
ylab_right	dominance plot right-hand axis label
col_bar	histogram bar fill color
col_line	density plot line color
col_sd1	color of two first-order stochastic dominance lines
col_sd2	color of the single second-order stochastic dominance line
lty_sd	line type array for stochastic dominance plot, e.g. c(2,3,5)
...	other parameters passed to xyplot or its panels

Details

Provides several variations of xy-plots suitable for presentation of PBO analysis results. Use the plotType argument to indicate which variation or result to plot:

• The cscv type shows in-sample and out-of-sample results by CSCV iteration case (default).

• The degradation type shows the performance degradation regression fit results and the probability of loss.

• The dominance type shows the results of the first-order and second-order stochastic dominance analysis using two axes.

• The pairs type shows the in-sample and out-of-sample case selections.

• The ranks type shows the sorted performance ranks results.

• The selection type shows the case selection frequencies.

See Also

pbo, histogram.pbo, xyplot.pbo

pbo documentation built on May 28, 2022, 1:06 a.m.