chart.ME: Chart Maximum Adverse/Favorable Excursion

In braverock/blotter: Tools for Transaction-Oriented Trading Systems P&L

Chart Maximum Adverse/Favorable Excursion

Description

Produces a scatterplot with one point per trade, with x-axis: absolute value of Drawdown (Adverse), or Run Up (Favourable), and y-axis: absolute value of Net Profit or Loss

Usage

chart.ME(Portfolio, Symbol, type = c("MAE", "MFE"), scale = c("cash",
  "percent", "tick"), ..., legend.loc)

Arguments

Portfolio	string identifying the portfolio to chart
Symbol	string identifying the symbol to chart. If missing, the first symbol found in the Portfolio portfolio will be used
type	string specifying MAE (Adverse) or MFE (Favourable) chart type
scale	string specifying 'cash', or 'percent' for percentage of investment, or 'tick'
...	any other passthrough parameters, in particular includeOpenTrades (see perTradeStats())
legend.loc	string specifying the position of legend. If missing, "bottomright" will be used

Author(s)

Jan Humme

References

Tomasini, E. and Jaekle, U. Trading Systems - A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6), section 3.5

See Also

perTradeStats for the calculations used by this chart, and tradeStats for a summary view of the performance

braverock/blotter documentation built on Feb. 13, 2023, 1 p.m.