runPortfolioBacktest: Run Portfolio Backtest and Plot
In PCRA: Companion to Portfolio Construction and Risk Analysis

runPortfolioBacktest

R Documentation

Run Portfolio Backtest and Plot

Description

Perform a backtest for a list of portfolio specifications. Portfolio objectives, constraints, rolling window, and rebalancing frequency can be customized using the same conventions as used in PortfolioAnalytics.

Usage

runPortfolioBacktest(
  return_portfolio,
  portfolio_list,
  portfolio_names,
  market_return = NULL,
  rebalance_on = NULL,
  rolling_window = NULL,
  optimize_method = "CVXR",
  moment_list = NULL,
  save_plot = TRUE,
  plot_path = "./",
  plot_name = "backtest",
  plot_main = NULL,
  plotType = "both",
  colorSet = NULL,
  ltySet = NULL,
  lwdSet = NULL
)

Arguments

`return_portfolio`	An `xts` matrix of asset returns. Column names must match the assets in each `portfolio.spec` object.
`portfolio_list`	A list of `portfolio.spec` objects built with `PortfolioAnalytics`.
`portfolio_names`	Character vector of names corresponding to each portfolio in `portfolio_list`.
`market_return`	An `xts` single-column object of benchmark returns.
`rebalance_on`	Character string passed to `optimize.portfolio.rebalancing()`. See `endpoints` for valid names.
`rolling_window`	Positive integer. Length of the rolling estimation window in periods.
`optimize_method`	Character string specifying the solver. Default `"CVXR"`.
`moment_list`	If different moment functions are passed into multiple GMV portfolios, please define each moment function via this parameter. For the portfolio that do not require moment function, please pass NULL. Example: `list('custom.covRob.Rocke', NULL, NULL)`.
`save_plot`	Logical. Whether to save the plot to a PNG file. Default `TRUE`.
`plot_path`	Character string. Full file path for the PNG output. Required when `save_plot = TRUE`.
`plot_name`	Plot name for the PNG output. Default `"backtest"`.
`plot_main`	Plot title for the PNG output.
`plotType`	"cumRet", "drawdown", or the default is "both"
`colorSet`	Optional character vector of colors passed to `backtest.plot()`.
`ltySet`	Optional integer vector of line types passed to `backtest.plot()`.
`lwdSet`	Optional integer vector of line width passed to `backtest.plot()`.

Value

A list:

returns: An xts matrix of period returns with one column per portfolio plus a "Market" column.
cumRet: An xts matrix of cumulative returns.
plot: The plot object returned by backtest.plot().