backtest-constructors: Specification of backtesting portfolios

backtest-constructorsR Documentation

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.