commodity: Commodity Futures Data from 2003 to 2005.

Description Format Details

Description

This data frame contains the futures backtest results of 28 commodities from 2003-01-01 to 2005-12-30. The data frame contains daily positions and profits for each commodity.

Format

A data frame with 11 variables

Details

The commodity data frame contains three layers of complexity. The first layer is the strategy layer. The strategy column contains three different strategies that divide the whole data frame into three part. Each strategy is further divided into different substrategies, and all these substrategies are contained in the substrategy column. For each substrategy, different portfolios are formed regularly and overlapping with each other, so each substrategy is divided into different overlapping portfolios, contained in the portfolio column.


backtestGraphics documentation built on May 29, 2017, 3:11 p.m.

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