Man pages for PortfolioTesteR
Test Investment Strategies with English-Like Code
| align_to_timeframe | Align Data to Strategy Timeframe |
| analyze_by_period | Period-level summary statistics |
| analyze_drawdowns | Analyze Drawdown Characteristics |
| analyze_performance | Analyze Backtest Performance with Daily Monitoring |
| analyze_vs_benchmark | Benchmark-relative performance statistics |
| apply_regime | Apply Market Regime Filter |
| apply_weighting_method | Apply Weighting Method to Values |
| as_selection | Convert Conditions to Selection Format |
| backtest_metrics | Calculate Comprehensive Backtest Metrics |
| bucket_returns | Bucketed label analysis by score rank |
| calc_cci | Calculate Commodity Channel Index (CCI) |
| calc_distance | Calculate Distance from Reference |
| calc_market_breadth | Calculate Market Breadth Percentage |
| calc_momentum | Calculate Price Momentum |
| calc_moving_average | Calculate Moving Average |
| calc_relative_strength_rank | Calculate Cross-Sectional Ranking of Indicators |
| calc_rolling_correlation | Rolling correlation of each symbol to a benchmark |
| calc_rolling_volatility | Calculate Rolling Volatility |
| calc_rsi | Calculate Relative Strength Index (RSI) |
| calc_sector_breadth | Calculate Market Breadth by Sector |
| calc_sector_relative_indicators | Calculate Indicators Relative to Sector Average |
| calc_stochastic_d | Calculate Stochastic D Indicator |
| calc_stochrsi | Stochastic RSI (StochRSI) for multiple price series |
| calculate_annualized_return | Calculate Annualized Return |
| calculate_cluster_variance_optimized | Optimized cluster variance calculation |
| calculate_daily_values | Daily equity curve from positions and daily prices |
| calculate_drawdowns | Calculate Portfolio Drawdowns |
| calculate_drawdown_series | Calculate Drawdown Time Series |
| calculate_enhanced_metrics | Calculate Enhanced Performance Metrics |
| calculate_erc_weights | Calculate Equal Risk Contribution weights (simplified) |
| calculate_hrp_weights | Calculate HRP weights for a given returns matrix |
| calculate_max_div_weights | Calculate Maximum Diversification Portfolio weights |
| cap_exposure | Apply post-weight exposure caps |
| cap_turnover | Cap turnover sequentially across dates |
| carry_forward_weights | Carry-forward weights between rebalances (validation helper) |
| combine_filters | Combine Multiple Filter Conditions |
| combine_scores | Combine multiple score panels (mean / weighted / rank-average... |
| combine_weights | Combine Multiple Weighting Schemes |
| convert_to_nweeks | Convert Data to N-Week Frequency |
| coverage_by_date | Count finite entries per date |
| create_regime_buckets | Convert Continuous Indicator to Discrete Regimes |
| csv_adapter | Load Price Data from CSV File |
| cv_tune_seq | Purged/embargoed K-fold CV for sequence models (inside IS... |
| demo_sector_map | Demo sector (group) map for examples/tests |
| dot-wf_make_splits | Create Window Splits for Walk-Forward |
| download_sp500_sectors | Download S&P 500 Sector Mappings from Wikipedia |
| ensure_dt_copy | Ensure Data.Table Without Mutation |
| evaluate_scores | Evaluate scores vs labels (IC and hit-rate) |
| filter_above | Filter Stocks Above Threshold |
| filter_below | Filter Stocks Below Threshold |
| filter_between | Filter Stocks Between Two Values |
| filter_by_percentile | Filter by Percentile |
| filter_rank | Select Top or Bottom N Stocks by Signal |
| filter_threshold | Filter by Threshold Value |
| filter_top_n | Select Top N Stocks by Signal Value |
| filter_top_n_where | Select Top N from Qualified Stocks |
| get_data_frequency | Detect Data Frequency from Dates |
| ic_series | Information Coefficient time series |
| invert_signal | Invert Signal Values for Preference Reversal |
| join_panels | Join multiple panels on intersecting dates (unique symbol... |
| limit_positions | Limit per-date selections to top-K (legacy API) |
| list_examples | List available example scripts |
| load_mixed_symbols | Load Mixed Symbols Including VIX |
| make_labels | Make future-return labels aligned to the decision date |
| manual_adapter | Adapter for User-Provided Data |
| membership_stability | Membership stability across dates |
| metric_sharpe | Calculate Sharpe Ratio with Frequency Detection |
| ml_add_interactions | Add interaction panels to a feature list |
| ml_backtest | One-call backtest wrapper (tabular features) |
| ml_backtest_multi | Run multi-horizon ML backtests (pooled or sector-neutral) |
| ml_backtest_seq | One-call backtest wrapper (sequence features) |
| ml_ic_series_on_scores | Rank-IC series computed on score (rebalance) dates |
| ml_make_ensemble | NA-tolerant ensemble blender (row-wise) |
| ml_make_model | Model factory for tabular cross-sectional learners |
| ml_make_seq_model | Deterministic sequence model factory (GRU/LSTM/CNN1D with... |
| ml_panel_op | Panel-safe binary operation on aligned wide panels |
| ml_panel_reduce | Reduce multiple panels with a binary operator |
| ml_plot_ic_roll | Rolling rank-IC plot (rebalance dates; leakage-safe) |
| ml_prepare_features | Prepare tabular features (weekly + aligned daily volatility) |
| panel_lag | Lag each symbol column by k steps |
| panel_returns_simple | Panel simple returns from prices |
| perf_metrics | Portfolio performance metrics |
| plot.backtest_result | Plot Backtest Results |
| plot.param_grid_result | Plot Parameter Grid Results (1D/2D/3D and Facets) |
| plot.performance_analysis | Plot Performance Analysis Results |
| plot.wf_optimization_result | Plot Walk-Forward Results |
| portfolio_returns | Portfolio returns from weights and prices (CASH-aware) |
| PortfolioTesteR-package | PortfolioTesteR: Test Investment Strategies with English-Like... |
| print.backtest_result | Print Backtest Results |
| print.param_grid_result | Print a param_grid_result |
| print.performance_analysis | Print Performance Analysis Results |
| print.wf_optimization_result | Print a wf_optimization_result |
| pt_collect_results | Collect diagnostics from two 'ml_backtest_multi()' runs |
| rank_within_sector | Rank Indicators Within Each Sector |
| rebalance_calendar | Rebalance calendar (rows with non-zero allocation) |
| recursive_bisection_optimized | Optimized recursive bisection for HRP |
| roll_fit_predict | Rolling fit/predict for tabular features (pooled / per-symbol... |
| roll_fit_predict_seq | Rolling fit/predict for sequence models (flattened steps-by-p... |
| roll_ic_stats | Rolling IC mean, standard deviation, and ICIR |
| run_backtest | Run Portfolio Backtest |
| run_example | Run an Example Script |
| run_param_grid | Run Parameter Grid Optimization (safe + ergonomic) |
| run_walk_forward | Walk-Forward Optimization Analysis |
| safe_any | Safe ANY Operation with NA Handling |
| safe_divide | Safe Division with NA and Zero Handling |
| sample_prices_daily | Sample Daily Stock Prices |
| sample_prices_weekly | Sample Weekly Stock Prices |
| sample_sp500_sectors | S&P 500 Sector Mappings |
| scores_oos_only | Mask score tables to out-of-sample decision dates |
| select_top_k_scores | Select top-K scores per date |
| select_top_k_scores_by_group | Select top-k symbols per group by score |
| sql_adapter | Load Price Data from SQL Database |
| sql_adapter_adjusted | Load Adjusted Price Data from SQL Database |
| standardize_data_format | Standardize Data to Library Format |
| summary.backtest_result | Summary method for backtest results |
| switch_weights | Switch Between Weighting Schemes |
| transform_scores | Per-date score transform (z-score or rank) |
| tune_ml_backtest | Quick grid tuning for tabular pipeline |
| turnover_by_date | Turnover by date |
| update_vix_in_db | Update VIX data in database |
| validate_data_format | Validate Data Format for Library Functions |
| validate_group_map | Validate a symbol-to-group mapping |
| validate_no_leakage | Quick leakage guard: date alignment & NA expectations |
| validate_performance_inputs | Validate Performance Analysis Inputs |
| vol_target | Volatility targeting (row-wise) with optional down-only cap |
| weight_by_hrp | Hierarchical Risk Parity Weighting |
| weight_by_rank | Rank-Based Portfolio Weighting |
| weight_by_regime | Regime-Based Adaptive Weighting |
| weight_by_risk_parity | Risk Parity Weighting Suite |
| weight_by_signal | Signal-Based Portfolio Weighting |
| weight_by_volatility | Volatility-Based Portfolio Weighting |
| weight_equally | Equal Weight Portfolio Construction |
| weight_from_scores | Map scores to portfolio weights |
| wf_report | Generate Walk-Forward Report |
| wf_stitch | Stitch Out-of-Sample Results (overlap-safe) |
| wf_sweep_tabular | Walk-forward sweep of tabular configs (window-wise... |
| yahoo_adapter | Download Price Data from Yahoo Finance |
