backtestChartDrawdown: Chart of the drawdown for a single backtest

In portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

Chart of the drawdown for a single backtest

Description

Create chart of the drawdown for a single backtest obtained with the function portfolioBacktest. By default the chart is based on the package ggplot2, but the user can also specify a plot based on PerformanceAnalytics.

Usage

backtestChartDrawdown(
  bt,
  portfolios = names(bt),
  dataset_num = 1,
  type = c("ggplot2", "simple"),
  ...
)

Arguments

bt	Backtest results as produced by the function portfolioBacktest.
portfolios	String with portfolio names to be charted. Default charts all portfolios in the backtest.
dataset_num	Dataset index to be charted. Default is dataset_num = 1.
type	Type of plot. Valid options: "ggplot2", "simple". Default is "ggplot2".
...	Additional parameters.

Author(s)

Daniel P. Palomar and Rui Zhou

See Also

summaryBarPlot, backtestBoxPlot, backtestChartCumReturn, backtestChartStackedBar, backtestChartSharpeRatio

Examples

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 chart
backtestChartDrawdown(bt)

portfolioBacktest documentation built on April 22, 2022, 9:05 a.m.