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PortfolioAnalytics (version 2.1.0)

backtest.plot: generate plots of the cumulative returns and drawdown for back-testing

Description

generate plots of the cumulative returns and drawdown for back-testing

Usage

backtest.plot(
  R,
  log_return = FALSE,
  drawdown_on = 1,
  plotType = "both",
  main = NULL,
  colorSet = NULL,
  ltySet = NULL,
  lwdSet = NULL
)

Arguments

R

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

log_return

arithmetic return or log return, the default is arithmetic return

drawdown_on

the plot will shadow the full time period of the maximum drawdown and recovery of the first portfolio. Use number (e.g. 1, 2, 3) to indicate which portfolio drawdown interval you wish to track, or NULL to not shadow any period.

plotType

"cumRet", "drawdown", or the default is both

main

users can design title by providing a character of main

colorSet

users can design the color by providing a vector of color

ltySet

users can design lty by providing a vector of lty

lwdSet

users can design lwd by providing a vector of lwd

Author

Peter Carl, Xinran Zhao, Yifu Kang