summaryBarPlot {portfolioBacktest} | R Documentation |
Create barplot from backtest summary
Description
After performing a backtest with portfolioBacktest
and obtaining a summary of the performance measures with
backtestSummary
, this function creates a barplot from the summary.
By default the plot is based on the package ggplot2
, but the user
can also specify a simple base plot.
Usage
summaryBarPlot(bt_summary, measures = NULL, type = c("ggplot2", "simple"), ...)
Arguments
bt_summary |
Backtest summary as obtained from the function |
measures |
String vector to select performane measures (default is all) from 'Sharpe ratio', 'max drawdown', 'annual return', 'annual volatility', 'Sterling ratio', 'Omega ratio', 'ROT bps', etc. |
type |
Type of plot. Valid options: |
... |
Additional parameters (only used for plot |
Author(s)
Daniel P. Palomar and Rui Zhou
See Also
summaryTable
, backtestBoxPlot
,
backtestChartCumReturn
, backtestChartDrawdown
,
backtestChartStackedBar
Examples
library(portfolioBacktest)
data(dataset10) # load dataset
# define your own portfolio function
quintile_portfolio <- function(data, ...) {
X <- diff(log(data$adjusted))[-1]
N <- ncol(X)
ranking <- sort(colMeans(X), decreasing = TRUE, index.return = TRUE)$ix
w <- rep(0, N)
w[ranking[1:round(N/5)]] <- 1/round(N/5)
return(w)
}
# do backtest
bt <- portfolioBacktest(list("Quintile" = quintile_portfolio), dataset10,
benchmark = c("1/N", "index"))
# now we can obtain the table
bt_summary_median <- backtestSummary(bt)
summaryBarPlot(bt_summary_median, measures = c("max drawdown", "annual volatility"))
summaryBarPlot(bt_summary_median, measures = c("max drawdown", "annual volatility"),
type = "simple")