backtestBoxPlot | R Documentation |
Create boxplot from a portfolio backtest obtained with the function
portfolioBacktest
. By default the boxplot is based on the
package ggplot2
(also plots a dot for each single backtest), but the user can also
specify a simple base plot.
backtestBoxPlot( bt, measure = "Sharpe ratio", ref_portfolio = NULL, type = c("ggplot2", "simple"), ... )
bt |
Backtest results as produced by the function |
measure |
String to select a performane measure from
|
ref_portfolio |
Reference portfolio (whose measure will be subtracted). Default is |
type |
Type of plot. Valid options: |
... |
Additional parameters. For example:
|
Daniel P. Palomar and Rui Zhou
summaryBarPlot
, backtestChartCumReturn
,
backtestChartDrawdown
, backtestChartStackedBar
library(portfolioBacktest) data(dataset10) # load dataset # define your own portfolio function quintile_portfolio <- function(data, ...) { X <- diff(log(data$adjusted))[-1] N <- ncol(X) ranking <- sort(colMeans(X), decreasing = TRUE, index.return = TRUE)$ix w <- rep(0, N) w[ranking[1:round(N/5)]] <- 1/round(N/5) return(w) } # do backtest bt <- portfolioBacktest(list("Quintile" = quintile_portfolio), dataset10, benchmark = c("1/N", "index")) # now we can plot backtestBoxPlot(bt, "Sharpe ratio") backtestBoxPlot(bt, "Sharpe ratio", type = "simple")
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