chart.Boxplot2: box whiskers plot wrapper

In kecoli/mpo: Companion to Modern Portfolio Optimization with R, 2nd Edition

Description

A wrapper to create box and whiskers plot with some defaults useful for comparing distributions.

Usage

chart.Boxplot2(R, horizontal = TRUE, names = TRUE, as.Tufte = FALSE,
  as.Notch = FALSE, sort.by = NULL, sort.base = NULL,
  sort.ascending = FALSE, colorset = "black", symbol.color = "red",
  mean.symbol = 1, median.symbol = "|", outlier.symbol = 1,
  show.data = NULL, add.mean = TRUE, xlab = "Return",
  main = "Return Distribution Comparison", element.color = "darkgray",
  ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
horizontal	TRUE/FALSE plot horizontal (TRUE) or vertical (FALSE)
names	logical. if TRUE, show the names of each series
as.Tufte	logical. default FALSE. if TRUE use method derived for Tufte for limiting chartjunk
as.Notch	logical. default FALSE. if TRUE a notch is drawn in each side of the boxes. See boxplot
sort.by	one of the return or risk measure c("NULL", "mean", "median", "variance", "sharp ratio", "mean absolute deviation", "std dev", "sterling ratio", "calmar ratio", "burke ratio", "pain index", "ulcer index","martin ratio", "downside risk", "omega ratio", "sortino ratio", "upside risk","upside potential ratio", "omega sharpe ratio"). default is "NULL".
sort.base	one of the return or risk measure as listed in sort.by, add the base order number next to the labels sorted by sort.by
sort.ascending	logical. If TRUE sort the distributions by ascending sort.by and sort.base
colorset	color palette to use, set by default to rational choices
symbol.color	draws the symbols described in mean.symbol,median.symbol,outlier.symbol in the color specified
mean.symbol	symbol to use for the mean of the distribution
median.symbol	symbol to use for the median of the distribution
outlier.symbol	symbol to use for the outliers of the distribution
show.data	numerical vector of column numbers to display on top of boxplot, default NULL
add.mean	logical. if TRUE, show a line for the mean of all distributions plotted
xlab	set the x-axis label, same as in plot
main	set the chart title, same as in plot
element.color	specify the color of chart elements. Default is "darkgray"
...	any other passthru parameters

Details

We have also provided controls for all the symbols and lines in the chart. One default, set by as.Tufte=TRUE, will strip chartjunk and draw a Boxplot per recommendations by Edward Tufte. Another default, set by as.Notch=TRUE, will draw a notch in each side of the boxes. It can also be useful when comparing several series to sort them in the order of ascending or descending return or risk measurement by use of sort.by and sort.ascending=TRUE. In addition, one can compare this with another user specified order, called base order, e.g., to see the relative change of the orders of the series between two measurements of interest.

Value

box plot of returns

Author(s)

Peter Carl

Ke Li [e-mail]

References

Tufte, Edward R. The Visual Display of Quantitative Information. Graphics Press. 1983. p. 124-129

See Also

boxplot

Examples

library(MASS)
library(PerformanceAnalytics)
data(edhec)

# Panel 1: vertical box, sort by Sortino ratio

chart.Boxplot2(R=edhec ,sort.by="Sortino ratio",
horizontal=FALSE , as.Tufte=TRUE)


# Panel 2: horizontal box, sort by Sortino ratio 

chart.Boxplot2(R=edhec ,sort.by="Sortino ratio",
horizontal=TRUE, as.Notch=TRUE)

# Panel 3: vertical box, sort by mean, with base order variance

chart.Boxplot2(R=edhec ,sort.by="mean", horizontal=FALSE
, sort.base="variance", sort.ascending=TRUE)

# Panel 4: horizontal box, sort by mean, with base order variance
# descending sort

chart.Boxplot2(R=edhec ,sort.by="mean", horizontal=FALSE
, sort.base="variance", sort.ascending=FALSE)

kecoli/mpo documentation built on May 20, 2019, 8:34 a.m.