equityCurve
Description
equityCurve(
plots the equity
curves of each strategy that you create using backtester
)backtestStrategy
. After creating
the backtesting engine using backtestEngine
and running the
backtest with runBacktest
, use
equityCurve
to plot the strategies and compare their
performance.
additionally returns the figure handle h
= equityCurve(ax
,backtester
)h
for the equity curve
plot.
Examples
Generate Equity Curve for Backtest
The MATLAB® backtesting engine runs backtests of portfolio investment strategies over time series of asset price data. After creating a set of backtest strategies using backtestStrategy
and the backtesting engine using backtestEngine
, the runBacktest
function executes the backtest. After using the runBacktest
function to test investment strategies, you can run the equityCurve
function to plot the equity curves of strategies.
Load Data
Load one year of stock price data. For readability, this example uses only a subset of the DJIA stocks.
% Read a table of daily adjusted close prices for 2006 DJIA stocks T = readtable('dowPortfolio.xlsx'); % Prune the table to hold only the dates and selected stocks timeColumn = "Dates"; assetSymbols = ["BA", "CAT", "DIS", "GE", "IBM", "MCD", "MSFT"]; T = T(:,[timeColumn assetSymbols]); % Convert to timetable pricesTT = table2timetable(T,'RowTimes','Dates'); % View the final asset price timetable head(pricesTT)
Dates BA CAT DIS GE IBM MCD MSFT ___________ _____ _____ _____ _____ _____ _____ _____ 03-Jan-2006 68.63 55.86 24.18 33.6 80.13 32.72 26.19 04-Jan-2006 69.34 57.29 23.77 33.56 80.03 33.01 26.32 05-Jan-2006 68.53 57.29 24.19 33.47 80.56 33.05 26.34 06-Jan-2006 67.57 58.43 24.52 33.7 82.96 33.25 26.26 09-Jan-2006 67.01 59.49 24.78 33.61 81.76 33.88 26.21 10-Jan-2006 67.33 59.25 25.09 33.43 82.1 33.91 26.35 11-Jan-2006 68.3 59.28 25.33 33.66 82.19 34.5 26.63 12-Jan-2006 67.9 60.13 25.41 33.25 81.61 33.96 26.48
Create Strategy
Test an equal-weighted investment strategy. This strategy invests an equal portion of the available capital into each asset. This example does not describe how to create backtesting strategies. For more information on creating backtesting strategies, see backtestStrategy
.
Set the RebalanceFrequency name-value argument to rebalance the portfolio every 60 days. This example does not use a lookback window to rebalance.
% Create the strategy numAssets = size(pricesTT,2); equalWeightsVector = ones(1,numAssets) / numAssets; equalWeightsRebalanceFcn = @(~,~) equalWeightsVector; ewStrategy = backtestStrategy("EqualWeighted",equalWeightsRebalanceFcn, ... 'RebalanceFrequency',60, ... 'LookbackWindow',0, ... 'TransactionCosts',0.005, ... 'InitialWeights',equalWeightsVector)
ewStrategy = backtestStrategy with properties: Name: "EqualWeighted" RebalanceFcn: @(~,~)equalWeightsVector RebalanceFrequency: 60 TransactionCosts: 0.0050 LookbackWindow: 0 InitialWeights: [0.1429 0.1429 0.1429 0.1429 0.1429 0.1429 0.1429] ManagementFee: 0 ManagementFeeSchedule: 1y PerformanceFee: 0 PerformanceFeeSchedule: 1y PerformanceHurdle: 0 UserData: [0x0 struct] EngineDataList: [0x0 string]
Run Backtest
Create a backtesting engine and run a backtest over a year of stock data. For more information on creating backtest engines, see backtestEngine
.
% Create the backtesting engine. The backtesting engine properties that hold the % results are initialized to empty. backtester = backtestEngine(ewStrategy)
backtester = backtestEngine with properties: Strategies: [1x1 backtestStrategy] RiskFreeRate: 0 CashBorrowRate: 0 RatesConvention: "Annualized" Basis: 0 InitialPortfolioValue: 10000 DateAdjustment: "Previous" PayExpensesFromCash: 0 NumAssets: [] Returns: [] Positions: [] Turnover: [] BuyCost: [] SellCost: [] TransactionCosts: [] Fees: []
% Run the backtest. The empty properties are now populated with % timetables of detailed backtest results. backtester = runBacktest(backtester,pricesTT)
backtester = backtestEngine with properties: Strategies: [1x1 backtestStrategy] RiskFreeRate: 0 CashBorrowRate: 0 RatesConvention: "Annualized" Basis: 0 InitialPortfolioValue: 10000 DateAdjustment: "Previous" PayExpensesFromCash: 0 NumAssets: 7 Returns: [250x1 timetable] Positions: [1x1 struct] Turnover: [250x1 timetable] BuyCost: [250x1 timetable] SellCost: [250x1 timetable] TransactionCosts: [1x1 struct] Fees: [1x1 struct]
Generate Equity Curve
Use the equityCurve
to plot the equity curve for the equal-weight strategy.
equityCurve(backtester)
Input Arguments
backtester
— Backtesting engine
backtestEngine
object
Backtesting engine, specified as a backtestEngine
object. Use
backtestEngine
to create the
backtester
object.
Note
The backtester
argument must use a
backtestEngine
object that has been run using runBacktest
.
Data Types: object
ax
— Valid axes object in which to display equity curve plot
ax
object
(Optional) Valid axes object in which to display equity curve plot, specified as an
ax
object that you create using axes
. The equity curve plot is created on the axes specified by the
optional ax
argument instead of on the current axes (gca). The
optional argument ax
can precede any of the input argument
combinations.
Data Types: object
Output Arguments
h
— Figure handle for the equity curve plot
handle object
Figure handle for the equity curve plot, returned as a handle object.
Version History
Introduced in R2021a
See Also
MATLAB 명령
다음 MATLAB 명령에 해당하는 링크를 클릭했습니다.
명령을 실행하려면 MATLAB 명령 창에 입력하십시오. 웹 브라우저는 MATLAB 명령을 지원하지 않습니다.
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