chart.Histogram: histogram of returns

Description

Create a histogram of returns, with optional curve fits for density and normal. This is a 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("none","add.density", "add.normal", "add.centered", "add.cauchy", "add.sst", "add.rug", "add.risk", "add.qqplot"), show.outliers = TRUE, colorset = c("lightgray", "#00008F", "#005AFF", "#23FFDC", "#ECFF13", "#FF4A00", "#800000"), border.col = "white", lwd = 2, xlim = NULL, ylim = NULL, element.color="darkgray", note.lines = NULL, note.labels = NULL, note.cex = 0.7, note.color = "darkgray", probability = FALSE, p = 0.95, cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.main = 1, xaxis=TRUE, yaxis=TRUE, ...)

Arguments

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

breaks

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 number of cells (seeDetails),

methods

what to graph, one or more of:

add.density

{ to display the density plot} add.normal{ to display a fitted normal distibution line over the mean} add.centered{ to display a fitted normal line o

item

p
probability
show.outliers
main
ylab
xlab
ylim
border.col
xlim
lwd
colorset
element.color
note.lines
note.labels
note.cex
note.color
cex.legend
cex.axis
cex.lab
cex.main
xaxis
yaxis
...

code

plot

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

data(edhec)
    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.density", "add.normal") )

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

    # 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") )

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