oos.outperformance.plot {matiming} | R Documentation |
This function plots the rolling outperformance of the out-of-sample trading strategy
oos.outperformance.plot(results, start.date, split.date, end.date)
results |
the results returned by function |
start.date |
the start of the first rolling period |
split.date |
the end of the first rolling period |
end.date |
the end of the total period |
None
The argument results
contains, among other variables, the dates vector that defines the historical period
over which the trading strategies are simulated. The outperformance is defined as
the difference between the performance of a trading strategy and the performance of
the corresponding passive strategy.
Other plotting functions:
is.outperformance.plot()
## Not run: library(matiming) library(zoo) data <- sp500.monthly dates <- index(data) data <- coredata(data) capret <- data[,"CAP"] totret <- data[,"TOT"] rfret <- data[,"RF"] tc <- 0.0025 fast <- 1:9 slow <- 2:18 res.mac <- sim.mac.strategy(totret=totret, rfret=rfret, dates=dates, capret=capret, tc=tc, fast=fast, slow=slow, FUN=SMA) res.mom <- sim.mom.strategy(totret=totret, rfret=rfret, dates=dates, capret=capret, tc=tc, winsize=slow) results <- sim.results.merge(res.mac, res.mom) start.date <- as.Date("1930-01-01", format="%Y-%m-%d") end.is.date <- as.Date("1949-12-31", format="%Y-%m-%d") end.oos.date <- as.Date("2015-12-31", format="%Y-%m-%d") res <- forward.test(results, start.date=start.date, end.is.date=end.is.date, end.oos.date=end.oos.date) # plot the rolling outperformance start.date <- as.Date("1950-01-01", format="%Y-%m-%d") split.date <- as.Date("1954-12-31", format="%Y-%m-%d") end.date <- as.Date("2015-12-31", format="%Y-%m-%d") oos.outperformance.plot(res, start.date=start.date, split.date=split.date, end.date=end.date) ## End(Not run)