chart.Histogram {PerformanceAnalytics}R Documentation

histogram of returns

Description

Create a histogram of returns, with optional curve fits for density and normal. This is a wrapper function for hist, see the help for that function for additional arguments you may wish to pass in.

Usage

chart.Histogram(R, breaks="FD", main = NULL, xlab = "Returns", ylab = "Frequency", methods = c("none","add.density", "add.normal", "add.centered", "add.cauchy", "add.sst", "add.rug", "add.risk", "add.qqplot"), show.outliers = TRUE, colorset = c("lightgray", "#00008F", "#005AFF", "#23FFDC", "#ECFF13", "#FF4A00", "#800000"), border.col = "white", lwd = 2, xlim = NULL, ylim = NULL, element.color="darkgray", note.lines = NULL, note.labels = NULL, note.cex = 0.7, note.color = "darkgray", probability = FALSE, p = 0.95, cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.main = 1, xaxis=TRUE, yaxis=TRUE, ...)

Arguments

R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
breaks one of:
  • a vector giving the breakpoints between histogram cells,
  • a single number giving the number of cells for the histogram,
  • a character string naming an algorithm to compute the number of cells (see ‘Details’),
  • a function to compute the number of cells.
In the last three cases the number is a suggestion only. see hist for details, default "FD"
methods what to graph, one or more of:
    add.density
    to display the density plot
    add.normal
    to display a fitted normal distibution line over the mean
    add.centered
    to display a fitted normal line over zero
    add.rug
    to display a rug of the observations
    add.risk
    to display common risk metrics
    add.qqplot
    to display a small qqplot in the upper corner of the histogram plot
p confidence level for calculation, default p=.99
probability logical; if TRUE, the histogram graphic is a representation of frequencies, the counts component of the result; if FALSE, probability densities, component density, are plotted (so that the histogram has a total area of one). Defaults to TRUE if and only if breaks are equidistant (and probability is not specified). see hist
show.outliers logical; if TRUE (the default), the histogram will show all of the data points. If FALSE, it will show only the first through the fourth quartile and will exclude outliers.
main set the chart title, same as in plot
ylab set the y-axis label, same as in plot
xlab set the x-axis label, same as in plot
ylim set the y-axis limits, same as in plot
border.col color to use for the border
xlim set the x-axis limit, same as in plot
lwd set the line width, same as in plot
colorset color palette to use, set by default to rational choices
element.color provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"
note.lines draws a vertical line through the value given.
note.labels adds a text label to vertical lines specified for note.lines.
note.cex The magnification to be used for note line labels relative to the current setting of 'cex'.
note.color specifies the color(s) of the vertical lines drawn.
cex.legend The magnification to be used for sizing the legend relative to the current setting of 'cex'.
cex.axis The magnification to be used for axis annotation relative to the current setting of 'cex', same as in plot.
cex.lab The magnification to be used for x- and y-axis labels relative to the current setting of 'cex'.
cex.main The magnification to be used for the main title relative to the current setting of 'cex'.
xaxis if true, draws the x axis
yaxis if true, draws the y axis
... any other passthru parameters to plot

Details

The default for breaks is "FD". Other names for which algorithms are supplied are "Sturges" (see nclass.Sturges), "Scott", and "FD" / "Freedman-Diaconis" (with corresponding functions nclass.scott and nclass.FD). Case is ignored and partial matching is used. Alternatively, a function can be supplied which will compute the intended number of breaks as a function of R.

Value

chart of histogram of returns

Note

Code inspired by a chart on:
http://zoonek2.free.fr/UNIX/48_R/03.html

Author(s)

Peter Carl

See Also

hist

Examples

    data(edhec)
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE])

    # version with more breaks and the standard close fit density distribution
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], breaks=40, methods = c("add.density", "add.rug") )

    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], methods = c( "add.density", "add.normal") )

    # version with just the histogram and normal distribution centered on 0
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], methods = c( "add.density", "add.centered") )

    # add a rug to the previous plot for more granularity on precisely where the distribution fell
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], methods = c( "add.centered", "add.density", "add.rug") )

    # now show a qqplot to give us another view on how normal the data are
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], methods = c( "add.centered", "add.density", "add.rug", "add.qqplot") )

    # add risk measure(s) to show where those are in relation to observed returns
    chart.Histogram(edhec[,'Equity Market Neutral',drop=FALSE], methods = c("add.density", "add.centered", "add.rug", "add.risk") )
[Package PerformanceAnalytics version 0.9.9-5 Index]