backtest-constructors: Specification of backtesting portfolios

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Specification of backtesting portfolios

Description

Functions to set specifications for portfolio backtesting.

The functions are:

setWindowsFun	Sets Windows function,
setWindowsParams	Sets additional parameters for rolling windows function,
setWindowsHorizon	Sets Windows horizon,
setStrategyFun	Sets the portfolio Strategy function,
setStrategyParams	Sets additional parameters for Strategy function,
setSmootherFun	Sets the Smoother function,
setSmootherParams	Sets additional parameters for Smoother function,
setSmootherLambda	Sets the smoothing parameter Lambda,
setSmootherDoubleSmoothing	Sets setting for double smoothing,
setSmootherInitialWeights	Sets the initial weights to used in the smoothing,
setSmootherSkip	Sets the number of skipped months.

Usage

setWindowsFun(backtest) <- value
setWindowsParams(backtest) <- value
setWindowsHorizon(backtest) <- value

setStrategyFun(backtest) <- value
setStrategyParams(backtest) <- value

setSmootherFun(backtest) <- value
setSmootherParams(backtest) <- value
setSmootherLambda(backtest) <- value
setSmootherDoubleSmoothing(backtest) <- value
setSmootherInitialWeights(backtest) <- value
setSmootherSkip(backtest) <- value

Arguments

backtest	an S4 object of class fPFOLIOBACKTEST, the specification to be modified, by default the default of the function portfolioBacktest().
value	a value for that component of backtest to be set. Note for setting Params value is a list.

Details

The function portfolioBacktest() allows to set the values for the specification structure from scratch.

To modify individual settings one can use the set functions.

References

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

fPortfolio documentation built on April 25, 2023, 9:11 a.m.