portfolioBacktesting

portfolioSmoothing

Tests a portfolio by a rolling backtest.

models

backtest-portfolio

A collection of functions to optimize portfolios and to analyze them from different points of view.

Stefan Theussl

fPortfolio

Rmetrics - Portfolio Selection and Optimization

Diethelm Wuertz

Tobias Setz

Yohan Chalabi

William Chen

backtest-portfolio function

<dl> <dt>formula</dt>
<dd>a formula describing the benchmark and assets used for backtesting
 in the form <code>backtest ~ assetA + ... + assetZ</code>. Here,
 <code>backtest</code> and <code>asset*</code> are column names of the
 <code>data</code> set.</dd> <dt>data</dt>
<dd>an object of class <code>timeSeries</code>.</dd> <dt>spec</dt>
<dd>an S4 object of class <code>fPFOLIOSPEC</code> as returned by the function
 <code>portfolioSpec</code>.</dd>
 
 <dt>constraints</dt>
<dd>a character string value or vector defining the constraints, for
 details we refer to <code>portfolioConstraints</code>.</dd>
 
 <dt>backtest</dt>
<dd>an S4 object of class <code>fPFOLIOBACKTEST</code> as returned by the 
 function <code>portfolioBacktest</code>.</dd>
 
 <dt>object</dt>
<dd>a list as returned by the function <code>portfolioBacktesting</code>.</dd> <dt>trace</dt>
<dd>a logical flag, by default TRUE. Should the backtersting be traced?</dd></dl>

Arguments

Portfolio backtesting — backtest-portfolio

<dl>

 <dt>formula</dt>
<dd>a formula describing the benchmark and assets used for backtesting
 in the form <code>backtest ~ assetA + ... + assetZ</code>. Here,
 <code>backtest</code> and <code>asset*</code> are column names of the
 <code>data</code> set.</dd>

 <dt>data</dt>
<dd>an object of class <code>timeSeries</code>.</dd>

 <dt>spec</dt>
<dd>an S4 object of class <code>fPFOLIOSPEC</code> as returned by the function
 <code>portfolioSpec</code>.</dd>
 
 <dt>constraints</dt>
<dd>a character string value or vector defining the constraints, for
 details we refer to <code>portfolioConstraints</code>.</dd>
 
 <dt>backtest</dt>
<dd>an S4 object of class <code>fPFOLIOBACKTEST</code> as returned by the 
 function <code>portfolioBacktest</code>.</dd>
 
 <dt>object</dt>
<dd>a list as returned by the function <code>portfolioBacktesting</code>.</dd>

 <dt>trace</dt>
<dd>a logical flag, by default TRUE. Should the backtersting be traced?</dd>

</dl>

backtest-portfolio: Portfolio backtesting

Description

Usage

Arguments

References