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plot

Visualize value-at-risk (VaR) or expected shortfall (ES) and portfolio data, and highlight exceptions

Since R2023b

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    Syntax

    plot(btobj)
    plot(btobj,Name=Value)
    hPlot = plot(___)

    Description

    example

    plot(btobj) plots the vectors and portfolio data, where btobj is either an esbacktest (since R2024a) or a varbacktest object.

    example

    plot(btobj,Name=Value) specifies additional plot styles using one or more name-value arguments. For example, plot(btobj,Type="bar") specifies a bar-style plot.

    hPlot = plot(___) returns a Line object or an array of Line objects. Use the figure handle hPlot to modify properties of the plot after creating it.

    Examples

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    Open Live Script

    Plot varbacktest data as a line and highlight the exceptions as dot markers. The plot function highlights a loss as an exception with respect to any VaR value.

    load VaRBacktestData
btobj = varbacktest(EquityIndex, ...
   [Normal95 Normal99], ...
   'PortfolioID',"Equity", ...
   'VaRID',{'Normal95' 'Normal99'}, ...
   'VaRLevel',[0.95 0.99], ...
   'Time',Date);
plot(btobj)

    Open Live Script

    Use the select function to choose a smaller backtesting time window. Then, use the plot function to make a bar-stye plot to highlight the exceptions for each VaR vector separately.

    load VaRBacktestData
btobj = varbacktest(EquityIndex, ...
   [Normal95 Normal99], ...
   'PortfolioID',"Equity", ...
   'VaRID',{'Normal95' 'Normal99'}, ...
   'VaRLevel',[0.95 0.99], ...
   'Time',Date);
btobjQ2 = select(btobj,TimeRange=[datetime(2000,4,1),datetime(2000,6,30)]);
plot(btobjQ2,Type="bar")

    Open Live Script

    Plot esbacktest data as a line and highlight the exceptions as dot markers.

    load ESBacktestData.mat
btobj = esbacktest(Returns,[VaRModel1 VaRModel2 VaRModel3], ...
       [ESModel1 ESModel2 ESModel3],'PortfolioID',"S&P", ...
       'VaRID',["Model 1","Model 2","Model 3"],'VaRLevel',VaRLevel);
plot(btobj);

    Open Live Script

    Use the select function to drill down into the second quarter of year 2000 and highlight the exceptions against each VaR vector separately.

    load ESBacktestData.mat
etobj = esbacktest(Returns,[VaRModel1 VaRModel2 VaRModel3], ...
       [ESModel1 ESModel2 ESModel3],'PortfolioID',"S&P", ...
       'VaRID',["Model 1","Model 2","Model 3"],'VaRLevel',VaRLevel, ...
       'Time',Dates);
etobjQ2 = select(etobj,'TimeRange', ...
      [datetime(2000,4,1), datetime(2000,6,30)]);
plot(etobjQ2, Type="bar");

    Input Arguments

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    Backtest object, specified as either a varbacktest or an esbacktest object.

    Name-Value Arguments

    Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

    Example: hPlot = plot(btobj,Type="bar")

    Axes object in which to plot. If you do not specify Parent, the plot function plots on the current Cartesian axes.

    Output plot type, specified as one of the following:

    • "line" — Plots the portfolio data as a line with the exceptions highlighted as dot markers.

    • "bar" — Plots the portfolio data as bars with the exceptions highlighted as circle markers.

    Example: hPlot = plot(btobj,Type="bar")

    Exception highlighting, specified as true (1) to display exception highlighting or false (0) to exclude it.

    Example: hPlot = plot(btobj,ShowExceptions=false)

    Version History

    Introduced in R2023b

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    See Also

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