backtestChartDrawdown | R Documentation |
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
.
backtestChartDrawdown( bt, portfolios = names(bt), dataset_num = 1, type = c("ggplot2", "simple"), ... )
bt |
Backtest results as produced by the function |
portfolios |
String with portfolio names to be charted. Default charts all portfolios in the backtest. |
dataset_num |
Dataset index to be charted. Default is |
type |
Type of plot. Valid options: |
... |
Additional parameters. |
Daniel P. Palomar and Rui Zhou
summaryBarPlot
, backtestBoxPlot
,
backtestChartCumReturn
, backtestChartStackedBar
, backtestChartSharpeRatio
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)
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