Yanrong Song, yrsong129 at gmail.com
Zijie Zhu, zijie.miller.zhu at gmail.com
David Kane, dave.kane at gmail.com
Ziqi Lu, ziqilu at g.harvard.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