Problems with charts.PerformanceSummary()
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I am basically trying to plot a performance summary chart using a very simple trading rule as follow:
library(quantmod)
library(PerformanceAnalytics)
getSymbols("MSFT")
lagclose <- Lag(Cl(MSFT))
change <- Cl(MSFT)/lagclose
lchange <- lag(change)
delta <- 0.005
trade <- c()
trade[1:2] <- 0
for (i in 3: length(Cl(MSFT))) {
if (lchange[i] > 1+delta) {
trade[i] <- 1
} else if (lchange[i] < 1-delta) {
trade[i] <- -1
} else
trade[i] <- 0
}
buy1 <- reclass(trade,Cl(MSFT))
ret <- dailyReturn(MSFT)*buy1
charts.PerformanceSummary(ret)
However, my output summary chart seems to be missing the graph for daily return as well as the drawdown segment. Any idea why?
My chart output
r performanceanalytics
edited Nov 17 at 16:45
phiver
12k92634
asked Nov 17 at 15:15
Daimon
92
add a comment |
up vote
0
down vote
favorite
I am basically trying to plot a performance summary chart using a very simple trading rule as follow:
library(quantmod)
library(PerformanceAnalytics)
getSymbols("MSFT")
lagclose <- Lag(Cl(MSFT))
change <- Cl(MSFT)/lagclose
lchange <- lag(change)
delta <- 0.005
trade <- c()
trade[1:2] <- 0
for (i in 3: length(Cl(MSFT))) {
if (lchange[i] > 1+delta) {
trade[i] <- 1
} else if (lchange[i] < 1-delta) {
trade[i] <- -1
} else
trade[i] <- 0
}
buy1 <- reclass(trade,Cl(MSFT))
ret <- dailyReturn(MSFT)*buy1
charts.PerformanceSummary(ret)
However, my output summary chart seems to be missing the graph for daily return as well as the drawdown segment. Any idea why?
My chart output
r performanceanalytics
edited Nov 17 at 16:45
phiver
12k92634
asked Nov 17 at 15:15
Daimon
92
I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I am basically trying to plot a performance summary chart using a very simple trading rule as follow:
library(quantmod)
library(PerformanceAnalytics)
getSymbols("MSFT")
lagclose <- Lag(Cl(MSFT))
change <- Cl(MSFT)/lagclose
lchange <- lag(change)
delta <- 0.005
trade <- c()
trade[1:2] <- 0
for (i in 3: length(Cl(MSFT))) {
if (lchange[i] > 1+delta) {
trade[i] <- 1
} else if (lchange[i] < 1-delta) {
trade[i] <- -1
} else
trade[i] <- 0
}
buy1 <- reclass(trade,Cl(MSFT))
ret <- dailyReturn(MSFT)*buy1
charts.PerformanceSummary(ret)
However, my output summary chart seems to be missing the graph for daily return as well as the drawdown segment. Any idea why?
My chart output
r performanceanalytics
edited Nov 17 at 16:45
phiver
12k92634
asked Nov 17 at 15:15
Daimon
92
I am basically trying to plot a performance summary chart using a very simple trading rule as follow:
library(quantmod)
library(PerformanceAnalytics)
getSymbols("MSFT")
lagclose <- Lag(Cl(MSFT))
change <- Cl(MSFT)/lagclose
lchange <- lag(change)
delta <- 0.005
trade <- c()
trade[1:2] <- 0
for (i in 3: length(Cl(MSFT))) {
if (lchange[i] > 1+delta) {
trade[i] <- 1
} else if (lchange[i] < 1-delta) {
trade[i] <- -1
} else
trade[i] <- 0
}
buy1 <- reclass(trade,Cl(MSFT))
ret <- dailyReturn(MSFT)*buy1
charts.PerformanceSummary(ret)
However, my output summary chart seems to be missing the graph for daily return as well as the drawdown segment. Any idea why?
My chart output
r performanceanalytics
r performanceanalytics
edited Nov 17 at 16:45
phiver
12k92634
asked Nov 17 at 15:15
Daimon
92
edited Nov 17 at 16:45
phiver
12k92634
asked Nov 17 at 15:15
Daimon
92
edited Nov 17 at 16:45
phiver
12k92634
edited Nov 17 at 16:45
phiver
12k92634
edited Nov 17 at 16:45
phiver
12k92634
12k92634
asked Nov 17 at 15:15
Daimon
92
asked Nov 17 at 15:15
Daimon
92
asked Nov 17 at 15:15
Daimon
92
92
I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46
add a comment |
I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46
I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46
I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46
add a comment |
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I ran your code and my chart output shows the daily return and the drawdown lines. Try restarting your r session and see if that helps.
– phiver
Nov 17 at 16:46