fPortfolio (version 4023.84)

fPFOLIOBACKTEST: Portfolio backtesting specifications

Description

Specifies portfolio backtesting objects.

Usage

# S4 method for fPFOLIOBACKTEST
show(object)

Value

portfolioBacktest returns an S4 object of class

"fPFOLIOBACKTEST".

Arguments

object

an S4 object of class fPFOLIOBACKTEST.

Details

Portfolio Backtest Specification:

The S4 class fPFOLIOBACKTEST specifies portfolio backtesting. The slots are:

@windows

a list, setting the windows function that defines the rolling windows, and the set of window specific parameters params. E.g The window horizon is set as a parameter horizon = "24m"

@strategy

a list, setting the portfolio strategy to implement during the backtest, and any strategy specific parameters are found in params.

@smoother

a list, specifying the smoothing style, given as a smoother function, and any smoother specific parameters are stored in the list params.

@messages

a list, any messages collected during the backtest

References

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