FixBacktest: Buy and Hold Backtest

In RMOPI: Risk Management and Optimization for Portfolio Investment

Buy and Hold Backtest

Description

Backtest for the buy and hold with a fixed weights strategy.

Usage

FixBacktest(rets, weights)

Arguments

rets	historic multivariate returns
weights	holding weights of stock

Value

A backtest return series

Examples

names <- c("swan", "bear", "tiger")
date <- as.Date("2015-01-01") + days(0:179)
mu <- c(0.2, 0.08, 0.1)
sigma <- matrix(c(1, 0.25, -0.3, 0.25, 0.25, 0, -0.3, 0, 0.36), 3, 3)
allret <- rMvReturnSim(names, date, mu, sigma)
tsret <- as.timeSeries(allret)
FixBacktest(tsret, rep(1 / 3, 3))

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.