chart.Histogram: histogram of returns

Description

Create a histogram of returns, with optional curve fits for density and normal. This is wrapper function for hist, see the help for that function for additional arguments you may wish to pass in.

Usage

chart.Histogram(R, breaks = "FD", main = NULL, xlab = "Returns", ylab = "Frequency", methods = c("add.density", "add.normal", "add.centered", "add.rug", "add.risk", "add.qqplot"), colorset = c("lightgray", "#00008F", "#005AFF", "#23FFDC", "#ECFF13", "#FF4A00", "#800000"), border.col = "white", box.col = "white", lwd = 2, xlim = NULL, darken = FALSE, ...)

Arguments

a vector, matrix, data frame, timeSeries or zoo object of asset returns

breaks

how to calculate the breaks between the bars, one of:

a vector giving the breakpoints between histogram cells,
a single number giving the number of cells for the histogram,
a character string naming an algorithm to compute the

methods

main

set the chart title, same as in plot

ylab

set the y-axis label, same as in plot

xlab

set the x-axis label, same as in plot

border.col

color to use for the border

box.col

color to use for the box

xlim

set the x-axis limit, same as in plot

lwd

set the line width, same as in plot

colorset

color palette to use, set by default to rational choices

darken

if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers.

...

any other passthru parameters

Value

chart of histogram of returns

Details

The default for breaks is "FD". Other names for which algorithms are supplied are "Sturges" (see nclass.Sturges), "Scott", and "FD" / "Freedman-Diaconis" (with corresponding functions nclass.scott and nclass.FD). Case is ignored and partial matching is used. Alternatively, a function can be supplied which will compute the intended number of breaks as a function of R.

Examples

Run this code

#first get some data
    data(edhec)
    #default chart is too busy
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE])

    # version with more breaks and the standard close fit density distribution
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], breaks=40, methods = c("add.density", "add.rug") )

    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c( "add.centered") )

    # version with just the histogram and normal distribution centered on 0
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c( "add.centered") )

    # version with histogram, normal, and close fit distribtuion
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c( "add.centered", "add.density") )

    # add a rug to the previous plot for more granularity on precisely where the distribution fell
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c( "add.centered", "add.density", "add.rug") )

    # now show a qqplot to give us another view on how normal the data are
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c( "add.centered", "add.density", "add.rug", "add.qqplot") )

    # add risk measure(s) to show where those are in relation to observed returns
    chart.Histogram(edhec[,'Equity.Market.Neutral',drop=FALSE], methods = c("add.density", "add.centered", "add.rug", "add.risk") )