Creates and displays plots of cumulative assets returns, of portfolio weights, of rebalanced weights, of drawdowns and of a report summary for backtesting.
backtestPlot(object, which="all", labels=TRUE, legend=TRUE, at=NULL,
format=NULL, cex=0.6, font=1, family="mono")backtestAssetsPlot(object, labels=TRUE, legend=TRUE, at=NULL, format=NULL)
backtestWeightsPlot(object, labels=TRUE, legend=TRUE, at=NULL, format=NULL)
backtestRebalancePlot(object, labels=TRUE, legend=TRUE, at=NULL, format=NULL)
backtestPortfolioPlot(object, labels=TRUE, legend=TRUE, at=NULL, format=NULL)
backtestDrawdownPlot(object, labels=TRUE, legend=TRUE, at=NULL, format=NULL)
backtestReportPlot(object, cex=0.6, font=1, family="mono")
a list, returned from running the function
portfolioSmoothing.
an integer or string value. If the argument is an integer then it
specifies which backtest plot should be displayed. If the argument
take the character value all, which is the default, then all
6 available backtest plots will be displayed.
a logical flag, determining if the graph should be labeled
automatically. This is the default case labels=TRUE. If
set to FALSE then the graph will be displayed
undecorated and the user can it decorate by himself.
a logical flag, determining if to the graph a legend should
be added. This is the default case labels=TRUE. If
set to FALSE then the graph will be displayed
undecorated and the user can it decorate by himself.
if NULL the time-axis ticks will be selected automatically. If
at is a vector of timeData character formatted
dates then the axis ticks ar taken from this vector.
if NULL the time-axis ticks are labeled automatically. If
format is a POSIX format string, tthen the label
formats are taken from this string.
font size, font and font family specification for the report.
These backtest plot summarises the results obtained from portfolio backtesting.
The function backtestAssetsPlot displays the set of possible
assets to construct a portfolio.
The function backtestWeightsPlot displays the recommended
weights for investment.
The function backtestRebalancePlot displays the weight
changes over time for
individual assets and for the portfolio.
The function backtestPortfolioPlot displays the daily,
benchmark and portfolio series
of a portfolio backtest.
The function backtestDrawdownPlot displays the daily
drawdowns for the
benchmark and the portfolio.
The function backtestReportPlot summarises the results
from a portfolio backtest.
W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.