R/plot_trades.R

In rengelke/tradr:

#' Plot Chart with Trades and Trade Summary from a Backtest Parameter Screen
#'
#' @param screen_results list containing backtest parameter screen results
#' @param par1 screen parameter 1
#' @param par2 screen parameter 2
#'
#' @import xts
#' @importFrom magrittr %>% %<>% %$%
#' @return
#' @export
#'
#' @examples plot_trades(strategy_screen_results)
plot_trades <- function (screen_results,
                         par1 = 100,
                         par2 = 5) {

    par1 %<>% as.character()
    par2 %<>% as.character()

    symbols <- screen_results[[par1]][[par2]]$returns %>%
        colnames() %>% .[!.%in% "CORR"]

    for (i in seq_along(symbols))  {

        w <- screen_results[[par1]][[par2]]$weights[, symbols[i]]
        ret <- screen_results[[par1]][[par2]]$returns[, symbols[i]]
        pr <- stock_prices[[symbols[i]]] %>% quantmod::Cl() %>%
            .[paste0(index(w)[1], "::")]

        tstats <- tradr::calc_trade_stats(ret, w)

        df <- cbind(pr, w) %>%
            na.locf() %>%
            `colnames<-`(c("pr", "w")) %>%
            as.data.frame() %>%
            tibble::rownames_to_column(var = "Date") %>%
            dplyr::mutate(Date = as.Date(Date)) %>%
            dplyr::mutate(w = w*max(pr, na.rm = TRUE)/max(w, na.rm = TRUE)) %>%
            dplyr::select(Date, pr, w) %>%
            tidyr::gather(key = "variable", value = "value", -Date)

        main_title <- paste0(
            symbols[i], " \n",
            tradr:::stock_universe %>% dplyr::filter(ISIN == symbols[i]) %$% Name)

        print(df %>% ggplot2::ggplot(., ggplot2::aes(x = Date, y = value)) +
                  ggplot2::geom_line(aes(color = variable), size = 0.5) +
                  ggplot2::ggtitle(main_title) +
                  ggplot2::scale_color_manual(values = c("#00AFBB", "#E7B800")) +
                  ggplot2::theme_minimal() +
                  ggpmisc::annotate(geom = "table",
                                    x = df$Date[length(df$Date)*0.01],
                                    y = max(pr, na.rm = TRUE)*0.975,
                                    label = list(tstats),
                                    vjust = 1, hjust = 0)
        )
    }
}