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Backtest Overfitting | Translated in R
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<title>Backtest Overfitting | Translated in R</title>
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<h1>Backtest Overfitting | Translated in R</h1>
<h2></h2>
<p>TimelyPortfolio<br/></p>
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<h3>Original Paper</h3>
<p><br>
<address>
<strong style="lineheight:40px;">Pseudo-Mathematics and Financial Charlatanism:</strong><p style="lineheight:40px;">The Effects of Backtest Overfitting on Out-of-Sample Performance</p></p>
<p class="muted" style="line-height:26px;">Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim<br>
October 7, 2013<br>
Available at SSRN: <a href="http://ssrn.com/abstract=2308659">http://ssrn.com/abstract=2308659</a>
</p>
<p></address></p>
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<!-- Presenter Notes -->
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<slide class="" id="slide-2" style="background:;">
<hgroup>
<h3>Constants - R Equivalents</h3>
</hgroup>
<article data-timings="">
<pre><code class="r"># these are the constants referenced
# Euler–Mascheroni&#39;s constant
-digamma(1)
</code></pre>
<pre><code>## [1] 0.5772
</code></pre>
<pre><code class="r"># euler constant
exp(1)
</code></pre>
<pre><code>## [1] 2.718
</code></pre>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-3" style="background:;">
<hgroup>
<h3>Expected Maximum Sharpe \(E[max_N]\)</h3>
</hgroup>
<article data-timings="">
<p>\[
\begin{aligned}
(1-\gamma)Z^{-1}\left[1-\frac{1}{N}\right]+\gamma Z^{-1}\left[1-\frac{1}{N}e^{-1}\right] \end{aligned}
\]</p>
<h4>R Translation</h4>
<pre><code class="r">### Eq. 4
emax &lt;- function(N) {
( ( 1 + digamma(1) ) * qnorm( 1 - 1/N ) ) +
(-digamma(1) * qnorm( 1 - (1/N) * exp(-1)))
}
emax( N = 10 ) # should be about = 1.57 to match paper
</code></pre>
<pre><code>## [1] 1.575
</code></pre>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-4" style="background:;">
<hgroup>
<h3>Plot \(E[max_N]\)</h3>
</hgroup>
<article data-timings="">
<pre><code class="r">#implement upper bound
upbound &lt;- function(N) {sqrt(2*log(N))}
#make a ugly plot for reasonableness check
curve(upbound, from = 1, to = 1000, col = &quot;red&quot;, lty = 2)
curve(emax, from = 1, to = 1000, add=TRUE)
grid()
</code></pre>
<p><img src="data:image/png;base64,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" alt="plot of chunk unnamed-chunk-4"> </p>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-5" style="background:;">
<hgroup>
<h3>rChart \(E[max_N]\)</h3>
</hgroup>
<article data-timings="">
<pre><code class="r">require(rCharts)
df &lt;- data.frame(
list(x=c(1,2:1000), y=c(0,emax(2:1000))))
d1 &lt;- dPlot( y ~ x, groups = &quot;x&quot;, data = df, type = &quot;line&quot;, height = 270, width = 800)
d1$xAxis(type = &quot;addMeasureAxis&quot;,orderBy = &quot;x&quot;,outputFormat = &quot;,0.0f&quot;)
d1$yAxis( outputFormat = &quot;.2f&quot;)
d1
</code></pre>
<iframe src=unnamed-chunk-5.html seamless></iframe>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-6" style="background:;">
<hgroup>
<h3>Check My Math with <em>Eq. 6</em></h3>
</hgroup>
<article data-timings="">
<pre><code class="r">### Try next example for Eq. 6
# if y = 5
# so solve for annualized Sharpe of 1
# says no more than 45 N should be tried
# first just do this to make sure I understand
N = 45
y = 5
emax( N ) * y^-0.5 #seems like on the right path
</code></pre>
<pre><code>## [1] 0.9998
</code></pre>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-7" style="background:;">
<hgroup>
<h3>Minimum Backtest Length \(MinBTL\)</h3>
</hgroup>
<article data-timings="">
<p>\[
\begin{aligned}
\left(\frac{(1-\gamma)Z^{-1}\left[1-\frac{1}{N}\right]+\gamma Z^{-1}\left[1-\frac{1}{N}e^{-1}\right]}{\overline{E[max_N]}}\right)^2 \end{aligned}
\]</p>
<h4> R Translation </h4>
<pre><code class="r">#use emax from earlier for numerator
minBTL &lt;- function( N, eMaxSharpe = 1 ) {
(emax(N) / eMaxSharpe) ^ 2
}
#then this should equal 5 if correct
minBTL( N = 45, eMaxSharpe = 1 )
</code></pre>
<pre><code>## [1] 4.998
</code></pre>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-8" style="background:;">
<hgroup>
<h3>Plot \(MinBTL\)</h3>
</hgroup>
<article data-timings="">
<pre><code class="r">#make ugly plot for a reasonableness check
curve( minBTL, from = 1, to = 1000)
</code></pre>
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</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-9" style="background:;">
<hgroup>
<h3>rChart \(MinBTL\)</h3>
</hgroup>
<article data-timings="">
<pre><code class="r">df &lt;- data.frame(
list(x=c(1,2:1000), minBTL=c(0,minBTL(2:1000))))
n1 &lt;- nPlot( minBTL ~ x, data = df, type = &quot;lineChart&quot;, height = 270, width = 800)
n1$yAxis( tickFormat = &quot;#!d3.format(&#39;,.2f&#39;)!#&quot;)
n1$chart( useInteractiveGuideline = TRUE )
n1
</code></pre>
<iframe src=unnamed-chunk-9.html seamless></iframe>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="" id="slide-10" style="background:;">
<hgroup>
<h3>Thanks</h3>
</hgroup>
<article data-timings="">
<ul>
<li>Ramnath Vaidyanathan</li>
<li>Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim</li>
</ul>
</article>
<!-- Presenter Notes -->
</slide>
<slide class="backdrop"></slide>
</slides>
<div class="pagination pagination-small" id='io2012-ptoc' style="display:none;">
<ul>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=1 title=''>
1
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=2 title='Constants - R Equivalents'>
2
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=3 title='Expected Maximum Sharpe \(E[max_N]\)'>
3
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=4 title='Plot \(E[max_N]\)'>
4
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=5 title='rChart \(E[max_N]\)'>
5
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=6 title='Check My Math with <em>Eq. 6</em>'>
6
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=7 title='Minimum Backtest Length \(MinBTL\)'>
7
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=8 title='Plot \(MinBTL\)'>
8
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=9 title='rChart \(MinBTL\)'>
9
</a>
</li>
<li>
<a href="#" target="_self" rel='tooltip'
data-slide=10 title='Thanks'>
10
</a>
</li>
</ul>
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Raw
index.Rmd
---
title: Backtest Overfitting | Translated in R
author: TimelyPortfolio
license: by-nc-sa
widgets: [mathjax, bootstrap]
github: {user: timelyportfolio, repo: research_lopezdePrado}
mode: standalone
hitheme: solarized_light
assets:
css:
- "http://fonts.googleapis.com/css?family=Raleway:300"
- "http://fonts.googleapis.com/css?family=Oxygen"
--- dt:10
<style>
iframe{
height:450px;
width:900px;
margin:auto auto;
}
body{
font-family: 'Oxygen', sans-serif;
}
h1,h2,h3,h4 {
font-family: 'Raleway', sans-serif;
}
h3 {
background-color: #D4DAEC;
text-indent: 100px;
}
h4 {
text-indent: 100px;
}
iframe {height: 300px; width: 900px}
</style>
```{r message = F, warning = F, error = F, echo = F, tidy = F, cache = F}
require(knitr)
opts_chunk$set(
message = F,
warning = F,
error = F,
tidy = F,
cache = F,
fig.width = 11,
fig.height = 5,
fig.path = ""
)
```
### Original Paper
<br>
<address>
<strong style="lineheight:40px;">Pseudo-Mathematics and Financial Charlatanism:</strong><p style="lineheight:40px;">The Effects of Backtest Overfitting on Out-of-Sample Performance</p>
<p class="muted" style="line-height:26px;">Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim<br>
October 7, 2013<br>
Available at SSRN: <a href="http://ssrn.com/abstract=2308659">http://ssrn.com/abstract=2308659</a>
</p>
</address>
---
### Constants - R Equivalents
```{r}
# these are the constants referenced
# Euler–Mascheroni's constant
-digamma(1)
# euler constant
exp(1)
```
---
### Expected Maximum Sharpe $E[max_N]$
$$
\begin{aligned}
(1-\gamma)Z^{-1}\left[1-\frac{1}{N}\right]+\gamma Z^{-1}\left[1-\frac{1}{N}e^{-1}\right] \end{aligned}
$$
<h4>R Translation</h4>
```{r}
### Eq. 4
emax <- function(N) {
( ( 1 + digamma(1) ) * qnorm( 1 - 1/N ) ) +
(-digamma(1) * qnorm( 1 - (1/N) * exp(-1)))
}
emax( N = 10 ) # should be about = 1.57 to match paper
```
---
### Plot $E[max_N]$
```{r}
#implement upper bound
upbound <- function(N) {sqrt(2*log(N))}
#make a ugly plot for reasonableness check
curve(upbound, from = 1, to = 1000, col = "red", lty = 2)
curve(emax, from = 1, to = 1000, add=TRUE)
grid()
```
---
### rChart $E[max_N]$
```{r results = "asis"}
require(rCharts)
df <- data.frame(
list(x=c(1,2:1000), y=c(0,emax(2:1000))))
d1 <- dPlot( y ~ x, groups = "x", data = df, type = "line", height = 270, width = 800)
d1$xAxis(type = "addMeasureAxis",orderBy = "x",outputFormat = ",0.0f")
d1$yAxis( outputFormat = ".2f")
d1
```
---
### Check My Math with *Eq. 6*
```{r}
### Try next example for Eq. 6
# if y = 5
# so solve for annualized Sharpe of 1
# says no more than 45 N should be tried
# first just do this to make sure I understand
N = 45
y = 5
emax( N ) * y^-0.5 #seems like on the right path
```
---
### Minimum Backtest Length $MinBTL$
$$
\begin{aligned}
\left(\frac{(1-\gamma)Z^{-1}\left[1-\frac{1}{N}\right]+\gamma Z^{-1}\left[1-\frac{1}{N}e^{-1}\right]}{\overline{E[max_N]}}\right)^2 \end{aligned}
$$
<h4> R Translation </h4>
```{r}
#use emax from earlier for numerator
minBTL <- function( N, eMaxSharpe = 1 ) {
(emax(N) / eMaxSharpe) ^ 2
}
#then this should equal 5 if correct
minBTL( N = 45, eMaxSharpe = 1 )
```
---
### Plot $MinBTL$
```{r}
#make ugly plot for a reasonableness check
curve( minBTL, from = 1, to = 1000)
```
---
### rChart $MinBTL$
```{r results = 'asis'}
df <- data.frame(
list(x=c(1,2:1000), minBTL=c(0,minBTL(2:1000))))
n1 <- nPlot( minBTL ~ x, data = df, type = "lineChart", height = 270, width = 800)
n1$yAxis( tickFormat = "#!d3.format(',.2f')!#")
n1$chart( useInteractiveGuideline = TRUE )
n1
```
---
### Thanks
- Ramnath Vaidyanathan
- Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim
Raw
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arguments.length?(a=e,T):a},T.height=function(e){return arguments.length?(f=e,T):f},T.color=function(t){return arguments.length?(h=e.utils.getColor(t),o.color(h),T):h},T.showLegend=function(e){return arguments.length?(p=e,T):p},T.tooltips=function(e){return arguments.length?(d=e,T):d},T.tooltipContent=function(e){return arguments.length?(v=e,T):v},T.state=function(e){return arguments.length?(b=e,T):b},T.defaultState=function(e){return arguments.length?(w=e,T):w},T.noData=function(e){return arguments.length?(E=e,T):E},T},e.models.lineWithFocusChart=function(){"use strict";function k(e){return e.each(function(e){function U(e){var t=+(e=="e"),n=t?1:-1,r=M/3;return"M"+.5*n+","+r+"A6,6 0 0 "+t+" "+6.5*n+","+(r+6)+"V"+(2*r-6)+"A6,6 0 0 "+t+" "+.5*n+","+2*r+"Z"+"M"+2.5*n+","+(r+8)+"V"+(2*r-8)+"M"+4.5*n+","+(r+8)+"V"+(2*r-8)}function z(){a.empty()||a.extent(w),I.data([a.empty()?g.domain():w]).each(function(e,t){var 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t=e.models.line(),n=e.models.line(),r=e.models.axis(),i=e.models.axis(),s=e.models.axis(),o=e.models.axis(),u=e.models.legend(),a=d3.svg.brush(),f={top:30,right:30,bottom:30,left:60},l={top:0,right:30,bottom:20,left:60},c=e.utils.defaultColor(),h=null,p=null,d=100,v,m,g,y,b=!0,w=null,E=!0,S=function(e,t,n,r,i){return"<h3>"+e+"</h3>"+"<p>"+n+" at "+t+"</p>"},x="No Data Available.",T=d3.dispatch("tooltipShow","tooltipHide","brush"),N=250;t.clipEdge(!0),n.interactive(!1),r.orient("bottom").tickPadding(5),i.orient("left"),s.orient("bottom").tickPadding(5),o.orient("left");var C=function(n,s){var o=n.pos[0]+(s.offsetLeft||0),u=n.pos[1]+(s.offsetTop||0),a=r.tickFormat()(t.x()(n.point,n.pointIndex)),f=i.tickFormat()(t.y()(n.point,n.pointIndex)),l=S(n.series.key,a,f,n,k);e.tooltip.show([o,u],l,null,null,s)};return t.dispatch.on("elementMouseover.tooltip",function(e){e.pos=[e.pos[0]+f.left,e.pos[1]+f.top],T.tooltipShow(e)}),t.dispatch.on("elementMouseout.tooltip",function(e){T.tooltipHide(e)}),T.on("tooltipHide",function(){E&&e.tooltip.cleanup()}),k.dispatch=T,k.legend=u,k.lines=t,k.lines2=n,k.xAxis=r,k.yAxis=i,k.x2Axis=s,k.y2Axis=o,d3.rebind(k,t,"defined","isArea","size","xDomain","yDomain","xRange","yRange","forceX","forceY","interactive","clipEdge","clipVoronoi","id"),k.options=e.utils.optionsFunc.bind(k),k.x=function(e){return arguments.length?(t.x(e),n.x(e),k):t.x},k.y=function(e){return arguments.length?(t.y(e),n.y(e),k):t.y},k.margin=function(e){return arguments.length?(f.top=typeof e.top!="undefined"?e.top:f.top,f.right=typeof e.right!="undefined"?e.right:f.right,f.bottom=typeof e.bottom!="undefined"?e.bottom:f.bottom,f.left=typeof e.left!="undefined"?e.left:f.left,k):f},k.margin2=function(e){return arguments.length?(l=e,k):l},k.width=function(e){return arguments.length?(h=e,k):h},k.height=function(e){return arguments.length?(p=e,k):p},k.height2=function(e){return arguments.length?(d=e,k):d},k.color=function(t){return arguments.length?(c=e.utils.getColor(t),u.color(c),k):c},k.showLegend=function(e){return arguments.length?(b=e,k):b},k.tooltips=function(e){return arguments.length?(E=e,k):E},k.tooltipContent=function(e){return arguments.length?(S=e,k):S},k.interpolate=function(e){return arguments.length?(t.interpolate(e),n.interpolate(e),k):t.interpolate()},k.noData=function(e){return arguments.length?(x=e,k):x},k.xTickFormat=function(e){return arguments.length?(r.tickFormat(e),s.tickFormat(e),k):r.tickFormat()},k.yTickFormat=function(e){return arguments.length?(i.tickFormat(e),o.tickFormat(e),k):i.tickFormat()},k.brushExtent=function(e){return arguments.length?(w=e,k):w},k.transitionDuration=function(e){return arguments.length?(N=e,k):N},k},e.models.linePlusBarWithFocusChart=function(){"use strict";function B(e){return e.each(function(e){function nt(e){var t=+(e=="e"),n=t?1:-1,r=q/3;return"M"+.5*n+","+r+"A6,6 0 0 "+t+" "+6.5*n+","+(r+6)+"V"+(2*r-6)+"A6,6 0 0 "+t+" "+.5*n+","+2*r+"Z"+"M"+2.5*n+","+(r+8)+"V"+(2*r-8)+"M"+4.5*n+","+(r+8)+"V"+(2*r-8)}function rt(){h.empty()||h.extent(x),Z.data([h.empty()?k.domain():x]).each(function(e,t){var n=k(e[0])-k.range()[0],r=k.range()[1]-k(e[1]);d3.select(this).select(".left").attr("width",n<0?0:n),d3.select(this).select(".right").attr("x",k(e[1])).attr("width",r<0?0:r)})}function it(){x=h.empty()?null:h.extent(),S=h.empty()?k.domain():h.extent(),D.brush({extent:S,brush:h}),rt(),r.width(F).height(I).color(e.map(function(e,t){return e.color||w(e,t)}).filter(function(t,n){return!e[n].disabled&&e[n].bar})),t.width(F).height(I).color(e.map(function(e,t){return e.color||w(e,t)}).filter(function(t,n){return!e[n].disabled&&!e[n].bar}));var n=J.select(".nv-focus .nv-barsWrap").datum(U.length?U.map(function(e,t){return{key:e.key,values:e.values.filter(function(e,t){return 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N=d3.select(this),j=this,F=(v||parseInt(N.style("width"))||960)-p.left-p.right,I=(m||parseInt(N.style("height"))||400)-p.top-p.bottom-g,q=g-d.top-d.bottom;B.update=function(){N.transition().duration(P).call(B)},B.container=this;if(!e||!e.length||!e.filter(function(e){return e.values.length}).length){var R=N.selectAll(".nv-noData").data([_]);return R.enter().append("text").attr("class","nvd3 nv-noData").attr("dy","-.7em").style("text-anchor","middle"),R.attr("x",p.left+F/2).attr("y",p.top+I/2).text(function(e){return e}),B}N.selectAll(".nv-noData").remove();var U=e.filter(function(e){return!e.disabled&&e.bar}),z=e.filter(function(e){return!e.bar});C=r.xScale(),k=o.scale(),L=r.yScale(),A=t.yScale(),O=i.yScale(),M=n.yScale();var W=e.filter(function(e){return!e.disabled&&e.bar}).map(function(e){return e.values.map(function(e,t){return{x:y(e,t),y:b(e,t)}})}),X=e.filter(function(e){return!e.disabled&&!e.bar}).map(function(e){return 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xAxis = {
"type": "addMeasureAxis",
"showPercent": false,
"orderBy": "x",
"outputFormat": ",0.0f"
},
yAxis = {
"type": "addMeasureAxis",
"showPercent": false,
"outputFormat": ".2f"
},
zAxis = [],
colorAxis = [],
defaultColors = [],
legend = [];
var svg = dimple.newSvg("#" + opts.id, opts.width, opts.height);
//data = dimple.filterData(data, "Owner", ["Aperture", "Black Mesa"])
var myChart = new dimple.chart(svg, data);
if (opts.bounds) {
myChart.setBounds(opts.bounds.x, opts.bounds.y, opts.bounds.width, opts.bounds.height);//myChart.setBounds(80, 30, 480, 330);
}
//dimple allows use of custom CSS with noFormats
if(opts.noFormats) { myChart.noFormats = opts.noFormats; };
//for markimekko and addAxis also have third parameter measure
//so need to evaluate if measure provided
//x axis
var x;
if(xAxis.measure) {
x = myChart[xAxis.type]("x",opts.x,xAxis.measure);
} else {
x = myChart[xAxis.type]("x", opts.x);
};
if(!(xAxis.type === "addPctAxis")) x.showPercent = xAxis.showPercent;
if (xAxis.orderRule) x.addOrderRule(xAxis.orderRule);
if (xAxis.grouporderRule) x.addGroupOrderRule(xAxis.grouporderRule);
if (xAxis.overrideMin) x.overrideMin = xAxis.overrideMin;
if (xAxis.overrideMax) x.overrideMax = xAxis.overrideMax;
if (xAxis.overrideMax) x.overrideMax = xAxis.overrideMax;
if (xAxis.inputFormat) x.dateParseFormat = xAxis.inputFormat;
if (xAxis.outputFormat) x.tickFormat = xAxis.outputFormat;
//y axis
var y;
if(yAxis.measure) {
y = myChart[yAxis.type]("y",opts.y,yAxis.measure);
} else {
y = myChart[yAxis.type]("y", opts.y);
};
if(!(yAxis.type === "addPctAxis")) y.showPercent = yAxis.showPercent;
if (yAxis.orderRule) y.addOrderRule(yAxis.orderRule);
if (yAxis.grouporderRule) y.addGroupOrderRule(yAxis.grouporderRule);
if (yAxis.overrideMin) y.overrideMin = yAxis.overrideMin;
if (yAxis.overrideMax) y.overrideMax = yAxis.overrideMax;
if (yAxis.inputFormat) y.dateParseFormat = yAxis.inputFormat;
if (yAxis.outputFormat) y.tickFormat = yAxis.outputFormat;
//z for bubbles
var z;
if (!(typeof(zAxis) === 'undefined') && zAxis.type){
if(zAxis.measure) {
z = myChart[zAxis.type]("z",opts.z,zAxis.measure);
} else {
z = myChart[zAxis.type]("z", opts.z);
};
if(!(zAxis.type === "addPctAxis")) z.showPercent = zAxis.showPercent;
if (zAxis.orderRule) z.addOrderRule(zAxis.orderRule);
if (zAxis.overrideMin) z.overrideMin = zAxis.overrideMin;
if (zAxis.overrideMax) z.overrideMax = zAxis.overrideMax;
}
if(d3.keys(colorAxis).length > 0) {
myChart[colorAxis.type](colorAxis.colorSeries,colorAxis.palette) ;
}
//allow manipulation of default colors to use with dimple
if(defaultColors.length) {
defaultColors = defaultColors[0];
if (typeof(defaultColors) == "function") {
//assume this is a d3 scale
//for now loop through first 20 but need a better way to handle
defaultColorsArray = [];
for (var n=0;n<20;n++) {
defaultColorsArray.push(defaultColors(n));
};
defaultColors = defaultColorsArray;
}
defaultColors.forEach(function(d,i) {
defaultColors[i] = new dimple.color(d);
})
myChart.defaultColors = defaultColors;
}
//here need think I need to evaluate group and if missing do null
//as the first argument
//if provided need to use groups from opts
if(opts.hasOwnProperty("groups")) {
var s = myChart.addSeries( opts.groups, dimple.plot[opts.type] );
//series offers an aggregate method that we will also need to check if available
//options available are avg, count, max, min, sum
if (!(typeof(opts.aggregate) === 'undefined')) {
s.aggregate = eval(opts.aggregate);
}
if (!(typeof(opts.lineWeight) === 'undefined')) {
s.lineWeight = eval(opts.lineWeight);
}
if (!(typeof(opts.barGap) === 'undefined')) {
s.barGap = eval(opts.barGap);
}
} else var s = myChart.addSeries( null, dimple.plot[opts.type] );
//unsure if this is best but if legend is provided (not empty) then evaluate
if(d3.keys(legend).length > 0) {
var l =myChart.addLegend();
d3.keys(legend).forEach(function(d){
l[d] = legend[d];
});
}
//quick way to get this going but need to make this cleaner
if(opts.storyboard) {
myChart.setStoryboard(opts.storyboard);
};
//catch all for other options
//these can be provided by dMyChart$chart( ... )
myChart.draw();
})();
</script>
</body>
</html>
Raw
unnamed-chunk-9.html
<!doctype HTML>
<meta charset = 'utf-8'>
<html>
<head>
<link rel='stylesheet' href='http://nvd3.org/src/nv.d3.css'>
<script src='http://ajax.googleapis.com/ajax/libs/jquery/1.8.3/jquery.min.js' type='text/javascript'></script>
<script src='http://d3js.org/d3.v3.min.js' type='text/javascript'></script>
<script src='./nvd3.min.new.js' type='text/javascript'></script>
<script src='http://nvd3.org/lib/fisheye.js' type='text/javascript'></script>
<style>
.rChart {
display: block;
margin-left: auto;
margin-right: auto;
width: 800px;
height: 270px;
}
</style>
</head>
<body>
<div id='chart322011b932db' class='rChart nvd3'></div>
<script type='text/javascript'>
$(document).ready(function(){
drawchart322011b932db()
});
function drawchart322011b932db(){
var opts = {
"dom": "chart322011b932db",
"width": 800,
"height": 270,
"x": "x",
"y": "minBTL",
"type": "lineChart",
"id": "chart322011b932db"
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if(!(opts.type==="pieChart" || opts.type==="sparklinePlus")) {
var data = d3.nest()
.key(function(d){
//return opts.group === undefined ? 'main' : d[opts.group]
//instead of main would think a better default is opts.x
return opts.group === undefined ? opts.y : d[opts.group];
})
.entries(data);
}
nv.addGraph(function() {
var chart = nv.models[opts.type]()
.x(function(d) { return d[opts.x] })
.y(function(d) { return d[opts.y] })
.width(opts.width)
.height(opts.height)
chart
.useInteractiveGuideline(true)
chart.yAxis
.tickFormat(d3.format(',.2f'))
d3.select("#" + opts.id)
.append('svg')
.datum(data)
.transition().duration(500)
.call(chart);
nv.utils.windowResize(chart.update);
return chart;
});
};
</script>
</body>
</html>
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