fPortfolio (version 4023.84)

backtest-specification: Specification of portfolio backtesting

Description

Specifies how the portfolio backtesting is performed.

Usage

portfolioBacktest(
    windows = list(
        windows = "equidistWindows", 
        params = list(horizon = "12m")),
    strategy = list(
        strategy = "tangencyStrategy", 
        params = list()),
    smoother = list(
        smoother = "emaSmoother", 
        params = list(doubleSmoothing = TRUE, 
        lambda = "3m", skip = 0, 
        initialWeights = NULL)),
    messages = list())

Value

returns an S4 object of class "fPFOLIOBACKTEST".

Arguments

windows

a list, containing different arguments: windows, params (horizon).

strategy

a list, containing different arguments: strategy, params.

smoother

a list, containing different arguments: smoother, params. (doubleSmoothing, lambda, skip, initialWeights).

messages

a list containing the backtesting messages.

References

W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.