equityCurve

Plot equity curves of strategies

Since R2021a

Syntax

equityCurve(backtester)

h = equityCurve(ax,backtester)

Description

equityCurve(backtester) plots the equity curves of each strategy that you create using backtestStrategy. After creating the backtesting engine using backtestEngine and running the backtest with runBacktest, use equityCurve to plot the strategies and compare their performance.

h = equityCurve(ax,backtester) additionally returns the figure handle 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