plot_statfolio: Plot equity curves and sensitivity information related to a...

Description Usage Arguments Value

View source: R/plot_statfolio.R

Description

Plot equity curves and sensitivity information related to a statfolio

Usage

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plot_statfolio(statfolio, tf = "all", type = "SDweights", Ncurves = 100,
  main = "Statfolio Performance Summary", log = "y", ...)

Arguments

statfolio

A statfolio of class "optimize.portfolio.rebalancing" as created by a WFO run using function wfo_statfolio.

tf

The statfolio timeframe to consider, using standard xts rules and formatting. If tf = "all" (default) then the entire available timeframe is used.

type

The type of plot to generate. Available types include "SDweights" (default), which generates three equity curves (best, average and worst) based on the weight variations resulting from the WFO runs on the top panel. On the bottom panel, a time plots of the standard deviation of each asset weight is shown. This helps visualize whether the optimizer converges to a stable set of weights (low SD) and whether that variation, not matter how small, results in meaningful changes in portfolio performance over time.

Value

Nothing is returned, except that a plot is generated on the graphic device.


jeanmarcgp/ResilientPortfolio documentation built on April 8, 2018, 5:43 p.m.