Functions to set specifications for portfolio backtesting.
The functions are:
setWindowsFun | Sets Windows function, |
setWindowsParams | Sets additional parameters for rolling windows function, |
setWindowsHorizon | Sets Windows horizon, |
setStrategyFun | Sets the portfolio Strategy function, |
setStrategyParams | Sets additional parameters for Strategy function, |
setSmootherFun | Sets the Smoother function, |
setSmootherParams | Sets additional parameters for Smoother function, |
setSmootherLambda | Sets the smoothing parameter Lambda, |
setSmootherDoubleSmoothing | Sets setting for double smoothing, |
setSmootherInitialWeights | Sets the initial weights to used in the smoothing, |
setSmootherSkip | Sets the number of skipped months. |
setWindowsFun(backtest) <- value
setWindowsParams(backtest) <- value
setWindowsHorizon(backtest) <- valuesetStrategyFun(backtest) <- value
setStrategyParams(backtest) <- value
setSmootherFun(backtest) <- value
setSmootherParams(backtest) <- value
setSmootherLambda(backtest) <- value
setSmootherDoubleSmoothing(backtest) <- value
setSmootherInitialWeights(backtest) <- value
setSmootherSkip(backtest) <- value
an S4 object of class fPFOLIOBACKTEST, the specification
to be modified, by default the default of the function
portfolioBacktest().
a value for that component of backtest to be set.
Note for setting Params value is a list.
The function portfolioBacktest() allows to set the values
for the specification structure from scratch.
To modify individual settings one can use the set functions.
W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.