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#' Graph One Performance Metric vs. Another for Various Investments
#'
#' Useful for visualizing the performance of a group of investments. The first
#' investment is used as the benchmark if \code{x.metric} or \code{y.metric}
#' require one benchmark, and the first two investments are used as benchmarks
#' if \code{x.metric} and \code{y.metric} require different benchmarks.
#'
#'
#' @inheritParams onemetric_graph
#' @inheritParams twofunds_graph
#'
#' @param x.metric Character string specifying x-axis performance metric.
#' Choices are:
#'
#' \code{"mean"} or \code{"sd"} for mean or standard deviation of gains.
#'
#' \code{"growth"} or \code{"cagr"} for total or annualized growth.
#'
#' \code{"mdd"} for maximum drawdown.
#'
#' \code{"sharpe"} or \code{"sortino"} for Sharpe or Sortino ratio.
#'
#' \code{"alpha"}, \code{"beta"}, or \code{"r.squared"} for those metrics from a
#' fitted linear regression on benchmark fund.
#'
#' \code{"pearson"} or \code{"spearman"} for Pearson or Spearman correlation
#' with benchmark fund.
#'
#' \code{"alpha2"}, \code{"beta2"}, \code{"r.squared2"}, \code{"pearson2"}, or
#' \code{"spearman2"} for same as previously described, but using the second
#' benchmark index.
#'
#' \code{"auto.pearson"} or \code{"auto.spearman"} for Pearson or Spearman
#' autocorrelation, defined as the correlation between subsequent gains.
#'
#' @param y.metric Same as \code{x.metric}, but for the y-axis.
#'
#'
#'
#' @return
#' In addition to the graph, a data frame containing the performance metrics for
#' each investment.
#'
#'
#' @inherit ticker_dates references
#'
#'
#' @examples
#' \dontrun{
#' # Plot annualized growth vs. maximum drawdown for VFINX, SSO, and UPRO
#' fig <- twometrics_graph(tickers = c("VFINX", "SSO", "UPRO"))
#' }
#'
#' @export
twometrics_graph <- function(tickers = NULL, ...,
gains = NULL,
prices = NULL,
x.metric = "mdd",
y.metric = "cagr",
tickerlabel.offsets = NULL,
add.plot = FALSE,
colors = NULL,
plot.list = NULL,
points.list = NULL,
text.list = NULL,
pdf.list = NULL,
bmp.list = NULL,
jpeg.list = NULL,
png.list = NULL,
tiff.list = NULL) {
# If tickers specified, load various historical prices from Yahoo! Finance
if (! is.null(tickers)) {
# Obtain matrix of gains for each fund
gains <- load_gains(tickers = tickers, ...)
} else if (! is.null(prices)) {
# Calculate gains based on price data
gains <- prices_gains(prices = prices)
} else if (is.null(gains)) {
stop("You must specify 'tickers', 'gains', or 'prices'")
}
# Convert gains to matrix if not already
if (! is.matrix(gains)) {
gains <- matrix(gains, ncol = 1)
}
# If x.metric or y.metric requires one or two benchmarks, split gains matrix
# into ticker gains and benchmark gains
if (x.metric %in% c("alpha", "beta", "r.squared", "pearson", "spearman") |
y.metric %in% c("alpha", "beta", "r.squared", "pearson", "spearman")) {
benchmark.gains <- gains[, 1, drop = F]
benchmark.ticker <- colnames(benchmark.gains)
if (is.null(benchmark.ticker)) {
benchmark.ticker <- "BENCH"
}
gains <- gains[, -1, drop = F]
}
if (x.metric %in%
c("alpha2", "beta2", "r.squared2", "pearson2", "spearman2") |
y.metric %in%
c("alpha2", "beta2", "r.squared2", "pearson2", "spearman2")) {
benchmark2.gains <- gains[, 1, drop = F]
benchmark2.ticker <- colnames(benchmark2.gains)
if (is.null(benchmark2.ticker)) {
benchmark2.ticker <- "BENCH 2"
}
gains <- gains[, -1, drop = F]
}
# Set tickers to column names of gains matrix; if NULL, use Fund 1, Fund 2,
# ...
tickers <- colnames(gains)
n.tickers <- length(tickers)
if (is.null(tickers)) {
tickers <- paste("Fund", 1: n.tickers)
}
# Figure out how many units are in a year, for CAGR and axis labels. If
# unknown, assume daily.
if (hasArg(time.scale)) {
extra.args <- list(...)
time.scale <- extra.args$time.scale
units.year <- ifelse(time.scale == "daily", 252,
ifelse(time.scale == "monthly", 12,
1))
} else {
min.diffdates <- min(diff(as.Date(rownames(gains)
[1: min(10, nrow(gains))])))
if (! is.null(min.diffdates)) {
if (min.diffdates == 1) {
time.scale <- "daily"
units.year <- 252
} else if (min.diffdates >= 2 & min.diffdates <= 30) {
time.scale <- "monthly"
units.year <- 12
} else if (min.diffdates > 30) {
time.scale <- "yearly"
units.year <- 1
}
} else {
time.scale <- "daily"
units.year <- 252
}
}
# Calculate performance metrics
x1 <- x2 <- y1 <- y2 <- NULL
if (y.metric == "mean") {
y <- apply(gains, 2, mean) * 100
plot.title <- paste("Mean of ", capitalize(time.scale), " Gains vs. ",
sep = "")
y.label <- "Mean (%)"
} else if (y.metric == "sd") {
y <- apply(gains, 2, sd) * 100
plot.title <- paste("SD of ", capitalize(time.scale), " Gains vs. ",
sep = "")
y.label <- "Standard deviation (%)"
y1 <- 0
} else if (y.metric == "growth") {
y <- apply(gains, 2, function(x) gains_rate(gains = x)) * 100
plot.title <- "Total Growth vs. "
y.label <- "Growth (%)"
} else if (y.metric == "cagr") {
y <- apply(gains, 2, function(x)
gains_rate(gains = x, units.rate = units.year)) * 100
plot.title <- "CAGR vs. "
y.label <- "CAGR (%)"
} else if (y.metric == "mdd") {
y <- apply(gains, 2, function(x) mdd(gains = x)) * 100
plot.title <- "Maximum Drawdown vs. "
y.label <- "MDD (%)"
y1 <- 0
} else if (y.metric == "sharpe") {
y <- apply(gains, 2, function(x) sharpe(gains = x))
plot.title <- "Sharpe Ratio vs. "
y.label <- "Sharpe ratio"
} else if (y.metric == "sortino") {
y <- apply(gains, 2, function(x) sortino(gains = x))
plot.title <- "Sortino Ratio vs. "
y.label <- "Sortino ratio"
} else if (y.metric == "alpha") {
y <- apply(gains, 2, function(x) lm(x ~ benchmark.gains)$coef[1] * 100)
plot.title <- "Alpha vs. "
y.label <- paste("Alpha w/ ", benchmark.ticker, " (%)", sep = "")
} else if (y.metric == "alpha2") {
y <- apply(gains, 2, function(x) lm(x ~ benchmark2.gains)$coef[1] * 100)
plot.title <- "Alpha vs. "
y.label <- paste("Alpha w/ ", benchmark2.ticker, " (%)", sep = "")
} else if (y.metric == "beta") {
y <- apply(gains, 2, function(x) lm(x ~ benchmark.gains)$coef[2])
plot.title <- "Beta vs. "
y.label <- paste("Beta w/ ", benchmark.ticker, sep = "")
} else if (y.metric == "beta2") {
y <- apply(gains, 2, function(x) lm(x ~ benchmark2.gains)$coef[2])
plot.title <- "Beta vs. "
y.label <- paste("Beta w/ ", benchmark2.ticker, sep = "")
} else if (y.metric == "r.squared") {
y <- apply(gains, 2, function(x) summary(lm(x ~ benchmark.gains))$r.squared)
plot.title <- "R-squared vs. "
y.label <- paste("R-squared w/ ", benchmark.ticker, sep = "")
y1 <- 0
} else if (y.metric == "r.squared2") {
y <- apply(gains, 2, function(x)
summary(lm(x ~ benchmark2.gains))$r.squared)
plot.title <- "R-squared vs. "
y.label <- paste("R-squared w/ ", benchmark2.ticker, sep = "")
y1 <- 0
} else if (y.metric == "pearson") {
y <- apply(gains, 2, function(x) cor(x, benchmark.gains))
plot.title <- "Pearson Cor. vs. "
y.label <- paste("Pearson cor. w/ ", benchmark.ticker, sep = "")
y1 <- -1.05
y2 <- 1.05
} else if (y.metric == "pearson2") {
y <- apply(gains, 2, function(x) cor(x, benchmark2.gains))
plot.title <- "Pearson Cor. vs. "
y.label <- paste("Pearson cor. w/ ", benchmark2.ticker, sep = "")
y1 <- -1.05
y2 <- 1.05
} else if (y.metric == "spearman") {
y <- apply(gains, 2, function(x)
cor(x, benchmark.gains, method = "spearman"))
plot.title <- "Spearman Cor. vs. "
y.label <- paste("Spearman cor. w/ ", benchmark.ticker, sep = "")
y1 <- -1.05
y2 <- 1.05
} else if (y.metric == "spearman2") {
y <- apply(gains, 2, function(x)
cor(x, benchmark2.gains, method = "spearman"))
plot.title <- "Spearman Cor. vs. "
y.label <- paste("Spearman cor. w/ ", benchmark2.ticker, sep = "")
y1 <- -1.05
y2 <- 1.05
} else if (y.metric == "auto.pearson") {
y <- apply(gains, 2, function(x) cor(x[-length(x)], x[-1]))
plot.title <- "Autocorrelation vs. "
y.label <- "Pearson autocorrelation"
} else if (y.metric == "auto.spearman") {
y <- apply(gains, 2, function(x)
cor(x[-length(x)], x[-1], method = "spearman"))
plot.title <- "Autocorrelation vs. "
y.label <- "Spearman autocorrelation"
}
if (x.metric == "mean") {
x <- apply(gains, 2, mean) * 100
plot.title <- paste(plot.title, "Mean of ", capitalize(time.scale),
" Gains", sep = "")
x.label <- "Mean (%)"
} else if (x.metric == "sd") {
x <- apply(gains, 2, sd) * 100
plot.title <- paste(plot.title, "SD of ", capitalize(time.scale),
" Gains", sep = "")
x.label <- "Standard deviation (%)"
x1 <- 0
} else if (x.metric == "growth") {
x <- apply(gains, 2, function(x) gains_rate(gains = x) * 100)
plot.title <- paste(plot.title, "Total Growth", sep = "")
x.label <- "CAGR (%)"
} else if (x.metric == "cagr") {
units.year <- ifelse(time.scale == "daily", 252,
ifelse(time.scale == "monthly", 12,
1))
x <- apply(gains, 2, function(x)
gains_rate(gains = x, units.rate = units.year) * 100)
plot.title <- paste(plot.title, "CAGR", sep = "")
x.label <- "CAGR (%)"
} else if (x.metric == "mdd") {
x <- apply(gains, 2, function(x) mdd(gains = x)) * 100
plot.title <- paste(plot.title, "MDD", sep = "")
x.label <- "MDD (%)"
x1 <- 0
} else if (x.metric == "sharpe") {
x <- apply(gains, 2, function(x) sharpe(gains = x))
plot.title <- paste(plot.title, "Sharpe Ratio", sep = "")
x.label <- "Sharpe ratio"
} else if (x.metric == "sortino") {
x <- apply(gains, 2, function(x) sortino(gains = x))
plot.title <- paste(plot.title, "Sortino Ratio", sep = "")
x.label <- "Sortino ratio"
} else if (x.metric == "alpha") {
x <- apply(gains, 2, function(x) lm(x ~ benchmark.gains)$coef[1] * 100)
plot.title <- paste(plot.title, "Alpha", sep = "")
x.label <- paste("Alpha w/ ", benchmark.ticker, " (%)", sep = "")
} else if (x.metric == "alpha2") {
x <- apply(gains, 2, function(x) lm(x ~ benchmark2.gains)$coef[1] * 100)
plot.title <- paste(plot.title, "Alpha", sep = "")
x.label <- paste("Alpha w/ ", benchmark2.ticker, " (%)", sep = "")
} else if (x.metric == "beta") {
x <- apply(gains, 2, function(x) lm(x ~ benchmark.gains)$coef[2])
plot.title <- paste(plot.title, "Beta", sep = "")
x.label <- paste("Beta w/ ", benchmark.ticker, sep = "")
} else if (x.metric == "beta2") {
x <- apply(gains, 2, function(x) lm(x ~ benchmark2.gains)$coef[2])
plot.title <- paste(plot.title, "Beta", sep = "")
x.label <- paste("Beta w/ ", benchmark2.ticker, sep = "")
} else if (x.metric == "r.squared") {
x <- apply(gains, 2, function(x) summary(lm(x ~ benchmark.gains))$r.squared)
plot.title <- paste(plot.title, "R-squared", sep = "")
x.label <- paste("R-squared w/ ", benchmark.ticker, sep = "")
x1 <- 0
} else if (x.metric == "r.squared2") {
x <- apply(gains, 2, function(x)
summary(lm(x ~ benchmark2.gains))$r.squared)
plot.title <- paste(plot.title, "R-squared", sep = "")
x.label <- paste("R-squared w/ ", benchmark2.ticker, sep = "")
x1 <- 0
} else if (x.metric == "pearson") {
x <- apply(gains, 2, function(x) cor(x, benchmark.gains))
plot.title <- paste(plot.title, "Pearson Cor.", sep = "")
x.label <- paste("Pearson cor. w/ ", benchmark.ticker, sep = "")
x1 <- -1.05
x2 <- 1.05
} else if (x.metric == "pearson2") {
x <- apply(gains, 2, function(x) cor(x, benchmark2.gains))
plot.title <- paste(plot.title, "Pearson Cor.", sep = "")
x.label <- paste("Pearson cor. w/ ", benchmark2.ticker, sep = "")
x1 <- -1.05
x2 <- 1.05
} else if (x.metric == "spearman") {
x <- apply(gains, 2, function(x)
cor(x, benchmark.gains, method = "spearman"))
plot.title <- paste(plot.title, "Spearman Cor.", sep = "")
x.label <- paste("Spearman cor. w/ ", benchmark.ticker, sep = "")
x1 <- -1.05
x2 <- 1.05
} else if (x.metric == "spearman2") {
x <- apply(gains, 2, function(x)
cor(x, benchmark2.gains, method = "spearman"))
plot.title <- paste(plot.title, "Spearman Cor.", sep = "")
x.label <- paste("Spearman cor. w/ ", benchmark2.ticker, sep = "")
x1 <- -1.05
x2 <- 1.05
} else if (x.metric == "auto.pearson") {
x <- apply(gains, 2, function(x) cor(x[-length(x)], x[-1]))
plot.title <- paste(plot.title, "Autocorrelation", sep = "")
x.label <- "Pearson autocorrelation"
} else if (x.metric == "auto.spearman") {
x <- apply(gains, 2, function(x)
cor(x[-length(x)], x[-1], method = "spearman"))
plot.title <- paste(plot.title, "Autocorrelation", sep = "")
x.label <- "Spearman autocorrelation"
}
# If NULL, set appropriate values for xlim and ylim ranges
if (is.null(x1) | is.null(x2) | is.null(y1) | is.null(y2)) {
x.range <- range(x)
y.range <- range(y)
if (is.null(x1)) {
x1 <- x.range[1] - 0.05 * diff(x.range)
}
if (is.null(x2)) {
x2 <- x.range[2] + 0.05 * diff(x.range)
}
if (is.null(y1)) {
y1 <- y.range[1] - 0.05 * diff(y.range)
}
if (is.null(y2)) {
y2 <- y.range[2] + 0.05 * diff(y.range)
}
}
# Create color scheme for plot
if (is.null(colors)) {
colors <- "black"
# if (n.tickers == 1) {
# colors <- "black"
# } else if (n.tickers == 2) {
# colors <- c("blue", "red")
# } else if (n.tickers == 3) {
# colors <- c("blue", "red", "orange")
# } else if (n.tickers == 4) {
# colors <- c("blue", "red", "orange", "purple")
# } else if (n.tickers > 4) {
# #colors <- distinctColorPalette(n.tickers)
# colors <- colorRampPalette(c("blue", "red", "darkgreen"))(n.tickers)
# }
}
# Figure out features of graph, based on user inputs where available
plot.list <- list_override(list1 = list(x = x,
y = y, type = "n",
main = plot.title, cex.main = 1.25,
xlab = x.label, ylab = y.label,
xlim = c(x1, x2), ylim = c(y1, y2)),
list2 = plot.list)
points.list <- list_override(list1 = list(x = x, y = y,
col = colors,
cex = 0.8, pch = 16),
list2 = points.list)
if (is.null(tickerlabel.offsets)) {
tickerlabel.offsets.dat <- data.frame(ticker = tickers,
x.offset = rep(0, n.tickers),
y.offset = rep((y2 - y1) / 30,
n.tickers),
stringsAsFactors = FALSE)
} else if (is.vector(tickerlabel.offsets) &
length(tickerlabel.offsets) == 2) {
tickerlabel.offsets.dat <- data.frame(ticker = tickers,
x.offset = rep(tickerlabel.offsets[1],
n.tickers),
y.offset = rep(tickerlabel.offsets[2],
n.tickers),
stringsAsFactors = FALSE)
} else if (is.matrix(tickerlabel.offsets)) {
tickerlabel.offsets.dat <- data.frame(ticker = tickers,
x.offset = tickerlabel.offsets[, 1],
y.offset = tickerlabel.offsets[, 2],
stringsAsFactors = FALSE)
} else if (is.data.frame(tickerlabel.offsets) &
nrow(tickerlabel.offsets) < n.tickers) {
tickerlabel.offsets.dat <- data.frame(ticker = tickers,
x.offset = rep(0, n.tickers),
y.offset = rep((y2 - y1) / 30,
n.tickers),
stringsAsFactors = FALSE)
for (ii in 1: nrow(tickerlabel.offsets)) {
loc <- which(tickerlabel.offsets.dat[, 1] == tickerlabel.offsets[ii, 1])
tickerlabel.offsets.dat[loc, 2: 3] <- tickerlabel.offsets.dat[loc, 2: 3] +
tickerlabel.offsets[ii, 2: 3]
}
}
text.list <- list_override(list1 = list(x = x + tickerlabel.offsets.dat[, 2],
y = y + tickerlabel.offsets.dat[, 3],
labels = tickers,
col = colors, cex = 0.7),
list2 = text.list)
# If pdf.list is not NULL, call pdf
if (! is.null(pdf.list)) {
if (is.null(pdf.list$file)) {
pdf.list$file <- "figure1.pdf"
}
do.call(pdf, pdf.list)
}
# If bmp.list is not NULL, call bmp
if (! is.null(bmp.list)) {
if (is.null(bmp.list$file)) {
bmp.list$file <- "figure1.bmp"
}
do.call(bmp, bmp.list)
}
# If jpeg.list is not NULL, call jpeg
if (! is.null(jpeg.list)) {
if (is.null(jpeg.list$file)) {
jpeg.list$file <- "figure1.jpg"
}
do.call(jpeg, jpeg.list)
}
# If png.list is not NULL, call png
if (! is.null(png.list)) {
if (is.null(png.list$file)) {
png.list$file <- "figure1.png"
}
do.call(png, png.list)
}
# If tiff.list is not NULL, call tiff
if (! is.null(tiff.list)) {
if (is.null(tiff.list$file)) {
tiff.list$file <- "figure1.tif"
}
do.call(tiff, tiff.list)
}
# Create plot region
if (! add.plot) {
do.call(plot, plot.list)
}
# Add horizontal/vertical lines if useful for requested metrics
if (y.metric %in% c("mean", "sd", "growth", "cagr", "mdd", "sharpe",
"sortino", "alpha", "alpha2", "beta", "beta2", "pearson",
"pearson2", "spearman", "spearman2", "auto.pearson",
"auto.spearman")) {
abline(h = 0, lty = 2)
} else if (y.metric %in% c("r.squared", "r.squared2")) {
abline(h = 1, lty = 2)
}
if (x.metric %in% c("mean", "sd", "growth", "cagr", "mdd", "sharpe",
"sortino", "alpha", "alpha2", "beta", "beta2", "pearson",
"pearson2", "spearman", "spearman2", "auto.pearson",
"auto.spearman")) {
abline(v = 0, lty = 2)
} else if (x.metric %in% c("r.squared", "r.squared2")) {
abline(v = 1, lty = 2)
}
# Add points
do.call(points, points.list)
# Add fund labels
do.call(text, text.list)
# Close graphics device if necessary
if (!is.null(pdf.list) | !is.null(bmp.list) | !is.null(jpeg.list) |
!is.null(png.list) | !is.null(tiff.list)) {
dev.off()
}
# Return data frame containing tickers and metrics
return(data.frame(ticker = tickers,
x.metric = x,
y.metric = y,
row.names = NULL, stringsAsFactors = FALSE))
}
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