summaryBarPlot | R Documentation |
After performing a backtest with portfolioBacktest
and obtaining a summary of the performance measures with
backtestSummary
, this function creates a barplot from the summary.
By default the plot is based on the package ggplot2
, but the user
can also specify a simple base plot.
summaryBarPlot(bt_summary, measures = NULL, type = c("ggplot2", "simple"), ...)
bt_summary |
Backtest summary as obtained from the function |
measures |
String vector to select performane measures (default is all) from 'Sharpe ratio', 'max drawdown', 'annual return', 'annual volatility', 'Sterling ratio', 'Omega ratio', 'ROT bps', etc. |
type |
Type of plot. Valid options: |
... |
Additional parameters (only used for plot |
Daniel P. Palomar and Rui Zhou
summaryTable
, backtestBoxPlot
,
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 obtain the table bt_summary_median <- backtestSummary(bt) summaryBarPlot(bt_summary_median, measures = c("max drawdown", "annual volatility")) summaryBarPlot(bt_summary_median, measures = c("max drawdown", "annual volatility"), type = "simple")
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.