Create combined wealth index, period performance, and drawdown chart
For a set of returns, create a wealth index chart, bars for per-period performance, and underwater chart for drawdown.
charts.PerformanceSummary(R, Rf = 0, main = NULL, geometric = TRUE, methods = "none", width = 0, event.labels = NULL, ylog = FALSE, wealth.index = FALSE, gap = 12, begin = c("first", "axis"), legend.loc = "topleft", p = 0.95, ...)
- an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
- risk free rate, in same period as your returns
- set the chart title, as in
- utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
- Used to select the risk parameter of trailing
widthreturns to use in the
chart.BarVaRpanel: May be any of:
- None - does not add a line,
- ModifiedVaR - uses Cornish-Fisher modified VaR,
- GaussianVaR - uses traditional Value at Risk,
- HistoricalVaR - calculates historical Value at Risk,
- ModifiedES - uses Cornish-Fisher modified Expected Shortfall,
- GaussianES - uses traditional Expected Shortfall,
- HistoricalES - calculates historical Expected Shortfall,
- StdDev - per-period standard deviation
- number of periods to apply rolling function window over
- TRUE/FALSE whether or not to display lines and labels for historical market shock events
- TRUE/FALSE set the y-axis to logarithmic scale, similar to
plot, default FALSE
TRUE, shows the "value of $1", starting the cumulation of returns at 1 rather than zero
- numeric number of periods from start of series to use to train risk calculation
- Align shorter series to:
- first - prior value of the first column given for the reference or longer series or,
- axis - the initial value (1 or zero) of the axis.
- sets the legend location in the top chart. Can be set to NULL or nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
- confidence level for calculation, default p=.95
- any other passthru parameters
Most inputs are the same as "
plot" and are principally
included so that some sensible defaults could be set.
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