git ignore

.gitignore

@@ -10,5 +10,4 @@ data/*
 !data/INDEX-backtest-final-ticker-weights.csv
 !data/INDEX-backtest-weights_within_environment.csv
 !data/long_t_bonds.csv
-!research/wrangle-long-backtest-data.Rmd
 !research/plots-for-blog1.Rmd

research/plots-for-blog1.Rmd

@@ -0,0 +1,238 @@
+---
+title: "plots-for-blog1"
+  html_document: 
+    keep_md: yes
+---
+
+```{r setup, include=FALSE}
+knitr::opts_chunk$set(echo = TRUE)
+
+library(tidyverse)
+
+# Multiple plot function
+#
+# ggplot objects can be passed in ..., or to plotlist (as a list of ggplot objects)
+# - cols:   Number of columns in layout
+# - layout: A matrix specifying the layout. If present, 'cols' is ignored.
+#
+# If the layout is something like matrix(c(1,2,3,3), nrow=2, byrow=TRUE),
+# then plot 1 will go in the upper left, 2 will go in the upper right, and
+# 3 will go all the way across the bottom.
+#
+multiplot <- function(..., plotlist=NULL, file, cols=1, layout=NULL) {
+  library(grid)
+
+  # Make a list from the ... arguments and plotlist
+  plots <- c(list(...), plotlist)
+
+  numPlots = length(plots)
+
+  # If layout is NULL, then use 'cols' to determine layout
+  if (is.null(layout)) {
+    # Make the panel
+    # ncol: Number of columns of plots
+    # nrow: Number of rows needed, calculated from # of cols
+    layout <- matrix(seq(1, cols * ceiling(numPlots/cols)),
+                    ncol = cols, nrow = ceiling(numPlots/cols))
+  }
+
+ if (numPlots==1) {
+    print(plots[[1]])
+
+  } else {
+    # Set up the page
+    grid.newpage()
+    pushViewport(viewport(layout = grid.layout(nrow(layout), ncol(layout))))
+
+    # Make each plot, in the correct location
+    for (i in 1:numPlots) {
+      # Get the i,j matrix positions of the regions that contain this subplot
+      matchidx <- as.data.frame(which(layout == i, arr.ind = TRUE))
+
+      print(plots[[i]], vp = viewport(layout.pos.row = matchidx$row,
+                                      layout.pos.col = matchidx$col))
+    }
+  }
+}
+```
+
+### get data
+```{r}
+## load data:
+AU_returns <- read_csv("../data/AU-returns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+AU_drawdowns <- read_csv("../data/AU-drawdowns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+INDEX_backtest_returns <- read_csv("../data/INDEX-backtest-returns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+INDEX_backtest_drawdowns <- read_csv("../data/INDEX-backtest-drawdowns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+INDEX_backtest_TR_returns <- read_csv("../data/INDEX-backtest-TR-returns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+INDEX_backtest_TR_drawdowns <- read_csv("../data/INDEX-backtest-TR-drawdowns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d"))) %>%
+  select(-X1)
+
+Global_IL_bonds_drawdowns <- read_csv("../data/Global-IL-bonds-drawdowns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d")))
+
+Global_IL_bonds_returns <- read_csv("../data/Global-IL-bonds-returns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d")))
+
+Global_drawdowns <- read_csv("../data/Global-drawdowns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d")))
+
+Global_returns <- read_csv("../data/Global-returns.csv", 
+    col_types = cols(date = col_date(format = "%Y-%m-%d")))
+
+
+```
+
+## Australian INDEX from 2001 vs. real ticker return from 2012 (our algo.'s weights) vs. TR All-Seasons weights
+```{r}
+myColors <- c("#CC79A7", "#0072B2", "#F0E442", "#000000")
+##### plot returns:
+INDEX_backtest_returns %>%
+  filter(date == min(AU_returns$date)-1 & key == "portfolio") %>%
+  select(returns) %>%
+  as.numeric() -> to_add
+AU_returns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "Our Version with IL-bonds\n(ETFs available 2012)") %>%
+  mutate(returns = returns + to_add) -> to_bind
+INDEX_backtest_TR_returns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "All-Seasons  ")  -> to_bind2
+INDEX_backtest_returns %>%
+  mutate(key = ifelse(key == "portfolio", "Our Version  ", key)) %>%
+  mutate(key = ifelse(key == "benchmark", "ASX 300  ", key)) %>%
+  bind_rows(to_bind) %>%
+  bind_rows(to_bind2) %>%
+  mutate(returns = returns/100) %>%
+  mutate(key = fct_relevel(as_factor(key), "ASX 300  ","All-Seasons  ","Our Version  ", 
+                                  "Our Version with IL-bonds\n(ETFs available 2012)")) %>%
+  ggplot(aes(x = date, y = returns, colour = key)) +
+  geom_line(alpha = .8) +
+ scale_x_date(date_breaks = "1 year", date_labels =  "%Y") +
+ scale_y_continuous(labels = scales::percent_format(accuracy = 1)) +
+ theme(axis.text.x=element_text(angle=60, hjust=1),
+        legend.title=element_blank(),
+        legend.position = "bottom") +
+  labs(x = NULL, y = NULL, title = "Cumulative Total Return") +
+  scale_color_manual(values=myColors) -> p
+
+p + theme(legend.position = "none") -> p1
+
+p + guides(color = guide_legend(override.aes = list(size=2))) -> p
+
+## Plot drawdowns 
+AU_drawdowns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "Our Version with IL-bonds\n(ETFs available 2012)") -> to_bind
+INDEX_backtest_TR_drawdowns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "All-Seasons")  -> to_bind2
+INDEX_backtest_drawdowns %>%
+  mutate(key = ifelse(key == "portfolio", "Our Version", key)) %>%
+  mutate(key = ifelse(key == "benchmark", "ASX 300", key)) %>%
+  bind_rows(to_bind) %>%
+  bind_rows(to_bind2) %>%
+  mutate(key = fct_relevel(as_factor(key), "ASX 300")) %>%
+  mutate(drawdown = drawdown/100) %>%
+  mutate(key = fct_relevel(as_factor(key), "ASX 300","All-Seasons","Our Version", 
+                                "Our Version with IL-bonds\n(ETFs available 2012)")) %>%
+  ggplot(aes(x = date, y = drawdown, colour = key)) +
+  geom_line(alpha = .8) +
+  scale_x_date(date_breaks = "1 year", date_labels =  "%Y") +
+  scale_y_continuous(labels = scales::percent_format(accuracy = 1)) +
+  theme(axis.text.x=element_text(angle=60, hjust=1),
+        legend.position="none") +
+  labs(x = NULL, y = NULL, title = "Drawdowns (Peak to Trough)") +
+  scale_color_manual(values=myColors) -> p2
+  
+png("AU.png", res = 1000, width = 7300, height = 5500)
+multiplot(p1, p2, cols=1)
+dev.off()
+
+legend <- cowplot::get_legend(p)
+png("legend-AU.png", res = 1050,  height = 290,  width = 4750)
+grid.newpage()
+grid.draw(legend)
+dev.off()
+
+
+```
+
+## Global from 2001 
+```{r}
+##### plot returns:
+Global_returns %>%
+  filter(date == min(Global_IL_bonds_returns$date)-1 & key == "portfolio") %>%
+  select(returns) %>%
+  as.numeric() -> to_add
+Global_IL_bonds_returns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "Our Version\nwith IL-bonds") %>%
+  mutate(returns = returns + to_add) -> to_bind
+Global_returns %>%
+  mutate(key = ifelse(key == "portfolio", "Our Version  ", key)) %>%
+  mutate(key = ifelse(key == "benchmark", "Global Equities  ", key)) %>%
+  bind_rows(to_bind) %>%
+  mutate(returns = returns/100) %>%
+  mutate(key = fct_relevel(as_factor(key), "Global Equities  ","Our Version  ","Our Version\nwith IL-bonds")) %>%
+  ggplot(aes(x = date, y = returns, colour = key)) +
+  geom_line(alpha = .8) +
+ scale_x_date(date_breaks = "1 year", date_labels =  "%Y") +
+ scale_y_continuous(labels = scales::percent_format(accuracy = 1)) +
+ theme(axis.text.x=element_text(angle=60, hjust=1),
+        legend.title=element_blank(),
+        legend.position = "bottom") +
+  labs(x = NULL, y = NULL, title = "Cumulative Total Return") +
+  scale_color_manual(values=myColors) -> p
+
+p + theme(legend.position = "none") -> p1
+
+p + guides(color = guide_legend(override.aes = list(size=2))) -> p
+
+## Plot drawdowns 
+Global_IL_bonds_drawdowns %>%
+  filter(key == "portfolio") %>%
+  mutate(key = "Our Version\nwith IL-bonds") -> to_bind
+Global_drawdowns %>%
+  mutate(key = ifelse(key == "portfolio", "Our Version", key)) %>%
+  mutate(key = ifelse(key == "benchmark", "Global Equities", key)) %>%
+  bind_rows(to_bind) %>%
+  mutate(key = fct_relevel(as_factor(key), "Global Equities")) %>%
+  mutate(drawdown = drawdown/100) %>%
+  ggplot(aes(x = date, y = drawdown, colour = key)) +
+  geom_line(alpha = .8) +
+  scale_x_date(date_breaks = "1 year", date_labels =  "%Y") +
+  scale_y_continuous(labels = scales::percent_format(accuracy = 1)) +
+  theme(axis.text.x=element_text(angle=60, hjust=1),
+        legend.position="none") +
+  labs(x = NULL, y = NULL, title = "Drawdowns (Peak to Trough)") +
+  scale_color_manual(values=myColors) -> p2
+  
+png("Global.png", res = 1000, width = 7300, height = 5500)
+multiplot(p1, p2, cols=1)
+dev.off()
+
+legend <- cowplot::get_legend(p)
+png("legend-Global.png", res = 875,  height = 240,  width = 3000)
+grid.newpage()
+grid.draw(legend)
+dev.off()
+ 
+
+```
+