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List: r-sig-finance
Subject: Re: [R-SIG-Finance] charts.PerformanceAnalytics plotting glitchy
From: Joshua Ulrich <josh.m.ulrich () gmail ! com>
Date: 2022-01-03 15:03:21
Message-ID: CAPPM_gSwFLy0n26T7n1xQriQ+cjXjMT5x1--WMgdSC8CiaagcQ () mail ! gmail ! com
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Hi Ilya,
It looks like this is an artifact of how that part of the plot is drawn.
The grid line and black drawdown line nearly overlap. I can see the line if
I make the plot larger.
Best,
Josh
On Fri, Dec 31, 2021 at 2:12 PM Ilya Kipnis <ilya.kipnis@gmail.com> wrote:
> Ilya Kipnis <ilya.kipnis@gmail.com>
> 3:06 PM (5 minutes ago)
> to r-sig-finance
> Quick bug description: using charts.PerformanceSummary, the drawdown plot
> looks like it has a gap.
>
> Min reproducible example using a simple moving average crossover on SPY:
>
> require(quantmod)
> require(TTR)
> require(PerformanceAnalytics)
>
> sma_strat <- function(prices, n_short = 1, n_long = 200, lag = 2) {
> returns <- na.omit(Return.calculate(prices))
> out <- lag(SMA(prices, n_short) > SMA(prices, n_long), 2) * returns
> return(out)
> }
>
> stratStats <- function(rets) {
> stats <- rbind(table.AnnualizedReturns(rets), maxDrawdown(rets))
> stats[5,] <- stats[1,]/stats[4,]
> stats[6,] <- stats[1,]/UlcerIndex(rets)
>
> stats <- rbind(stats, Omega(rets), SortinoRatio(rets),
> skewness(rets), kurtosis(rets), VaR(rets))
> rownames(stats)[4] <- "Worst Drawdown"
> rownames(stats)[5] <- "Calmar Ratio"
> rownames(stats)[6] <- "Ulcer Performance Index"
> return(stats)
> }
>
> getSymbols('SPY', from = '1990-01-01')
>
>
> spy_SMA_1_200 <- sma_strat(Cl(SPY))
> spy_SMA_50_200 <- sma_strat(Cl(SPY), 50, 200)
>
> compare <- na.omit(cbind(spy_SMA_1_200, spy_SMA_50_200))
> colnames(compare) <- c("SPY_1_200", "SPY_50_200")
>
> charts.PerformanceSummary(compare)
> stratStats(compare)
>
> Output:
>
>
>
> [image: image.png]
>
> Notice the gap in the drawdowns in 2008-2009 on the black line.
>
> Just something I noticed now.
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
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<div dir="ltr"><div>Hi Ilya,</div><div><br></div><div>It looks like this is an \
artifact of how that part of the plot is drawn. The grid line and black drawdown line \
nearly overlap. I can see the line if I make the plot \
larger.</div><div><br></div><div>Best,</div><div>Josh</div><div><br></div></div><br><div \
class="gmail_quote"><div dir="ltr" class="gmail_attr">On Fri, Dec 31, 2021 at 2:12 PM \
Ilya Kipnis <<a href="mailto:ilya.kipnis@gmail.com">ilya.kipnis@gmail.com</a>> \
wrote:<br></div><blockquote class="gmail_quote" style="margin:0px 0px 0px \
0.8ex;border-left:1px solid rgb(204,204,204);padding-left:1ex"><div dir="ltr"><div \
style="float:none;padding:0px \
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aria-hidden="true" style="display: block; width: 40px; height: 40px; border-radius: \
50%; background-color: rgb(204, 204, 204);"></div></div><div \
style="margin:0px;padding:0px 0px \
20px;width:1290.67px;font-family:Roboto,RobotoDraft,Helvetica,Arial,sans-serif;font-size:medium"><div \
style="padding:20px 0px 0px;font-size:0.875rem"><table \
style="border-collapse:collapse;margin-top:0px;width:auto;font-size:0.875rem;letter-spacing:0.2px;display:block" \
cellpadding="0"><tbody style="display:block"><tr style="height:auto;display:flex"><td \
style="white-space:nowrap;padding:0px;vertical-align:top;width:1032.46px;line-height:20px;display:block;max-height:20px"><table \
style="border-collapse:collapse;table-layout:fixed;width:1032.46px" \
cellpadding="0"><tbody><tr><td style="display:flex"><h3 \
style="overflow:hidden;font-size:0.75rem;font-weight:inherit;margin:inherit;text-overflow:ellipsis;letter-spacing:0.3px;color:rgb(95,99,104);line-height:20px"><span \
role="gridcell"><span name="Ilya Kipnis" \
style="color:rgb(32,33,36);font-size:0.875rem;font-weight:bold;display:inline;vertical-align:top;letter-spacing:0.2px;line-height:20px"><span \
style="vertical-align:top">Ilya Kipnis</span></span> <span \
style="vertical-align:top;color:rgb(85,85,85)"><span aria-hidden="true"><</span><a \
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-stretch:normal;font-size:small;line-height:1.5;font-family:Arial,Helvetica,sans-serif"><div \
dir="ltr">Quick bug description: using charts.PerformanceSummary, the drawdown plot \
looks like it has a gap.<div><br></div><div>Min reproducible example using a simple \
moving average crossover on \
SPY:</div><div><br></div><div>require(quantmod)<br>require(TTR)<br>require(PerformanceAnalytics)<br><br>sma_strat \
<- function(prices, n_short = 1, n_long = 200, lag = 2) {<br> returns <- \
na.omit(Return.calculate(prices))<br> out <- lag(SMA(prices, n_short) > \
SMA(prices, n_long), 2) * returns<br> return(out)<br>}<br><br>stratStats <- \
function(rets) {<br> stats <- rbind(table.AnnualizedReturns(rets), \
maxDrawdown(rets))<br> stats[5,] <- stats[1,]/stats[4,]<br> stats[6,] <- \
stats[1,]/UlcerIndex(rets)<br> <br> stats <- rbind(stats, Omega(rets), \
SortinoRatio(rets),<br> skewness(rets), kurtosis(rets), \
VaR(rets))<br> rownames(stats)[4] <- "Worst Drawdown"<br> \
rownames(stats)[5] <- "Calmar Ratio"<br> rownames(stats)[6] <- \
"Ulcer Performance Index"<br> \
return(stats)<br>}<br><br>getSymbols('SPY', from = \
'1990-01-01')<br><br><br>spy_SMA_1_200 <- \
sma_strat(Cl(SPY))<br>spy_SMA_50_200 <- sma_strat(Cl(SPY), 50, 200)<br><br>compare \
<- na.omit(cbind(spy_SMA_1_200, spy_SMA_50_200))<br>colnames(compare) <- \
c("SPY_1_200", \
"SPY_50_200")<br><br>charts.PerformanceSummary(compare)<br>stratStats(compar \
e)<br></div><div><br></div><div>Output:</div><div><br></div><div><br></div><div><br></div><div><img \
src="cid:ii_kxuu1e4r0" alt="image.png" width="542" \
height="424"><br></div><div><br></div><div><div>Notice the gap in the drawdowns in \
2008-2009 on the black line.</div><div><br></div><div>Just something I noticed \
now.</div></div></div></div></div></div></div></div> \
_______________________________________________<br> <a \
href="mailto:R-SIG-Finance@r-project.org" \
target="_blank">R-SIG-Finance@r-project.org</a> mailing list<br> <a \
href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" rel="noreferrer" \
target="_blank">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br>
-- Subscriber-posting only. If you want to post, subscribe first.<br>
-- Also note that this is not the r-help list where general R questions should \
go.<br> </blockquote></div><br clear="all"><br>-- <br><div dir="ltr" \
class="gmail_signature">Joshua Ulrich | <a href="http://about.me/joshuaulrich" \
target="_blank">about.me/joshuaulrich</a><br>FOSS Trading | <a \
href="http://www.fosstrading.com" target="_blank">www.fosstrading.com</a></div>
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