Yanrong Song, yrsong129 at gmail.com
Zijie Zhu, zijie.miller.zhu at gmail.com
David Kane, dave.kane at gmail.com
Ziqi Lu, ziqi.lu at williams.edu
Karan Tibrewal, karan.tibrewal at williams.edu
Fan Zhang, fan.zhang at williams.edu
backtestGraphics package creates an interactive
graphical interface to visualize backtest results for different
financial instruments, including but not limited to equities, futures,
and credit default swaps. The package does not run backtests, but
instead displays the backtest results graphically. Available summary
statistics include average gross market value, cumulative profit and
loss, sharpe ratio, top three drawdowns, etc. Available plots include
cumulative and point-in -time profit and loss, and gross and net market
value, etc. backtestGraphics also support backtest results
with different strategies, substrategies, and overlapping portfolios, if
the necessary columns are provided.
You can easily install backtestGraphics by typing:
install.packages("backtestGraphics")or
library(devtools)
install_github("yanrong-stacy-song/backtestGraphics")The package comes with three sample data frames:
commodity, equity, and credit.
These are backtest results for commodity futures, equities, and credit
default swaps (CDS), respectively. We use these data frames to
demonstrate the capabilities of the backtestGraphics
package. (Note: The user may also use her own data frame, as long as it
adheres to the format specified in the documentation).
As an example, let us look at backtestGraphics at work
for the commodity data frame. Type the following command,
and click the “Visualize” button on the Shiny interface returned by the
function call.
library(backtestGraphics)
backtestGraphics(x = commodity)For more details, please run the following to see the detailed vignette:
vignette("backtestGraphics")We welcome contributions! Please see our contributing guidelines in the Github Wiki for more details on how to report issues, request features, or submit a pull request.
Yanrong Song, yrsong129 at gmail.com