backtest-extractors: Portfolio backtest specification extractors

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Portfolio backtest specification extractors

Description

Extracts information from an object of class fPFOLIOBACKTEST.

The functions are:

getWindows	Extract windows slot,
getWindowsFun	extract windows function,
getWindowsParams	extract a list of windows specific parameters,
getWindowsHorizon	extract windows horizon,
getStrategy	extract strategy slot,
getStrategyFun	extract the portfolio strategy function,
getStrategyParams	extract a list of portfolio strategy specific parameters,
getSmoother	extract the smoother slot,
getSmootherFun	Extract the Ssoother function,
getSmootherParams	extract a list of Smoothing specific parameters,
getSmootherLambda	extract the smoothing parameter Lambda,
getSmootherDoubleSmoothing	extract setting for double smoothing,
getSmootherInitialWeights	extract the initial weights to used in the smoothing,
getSmootherSkip	extract the number of skipped months,
getMessages	extract the message slot.

Usage

## S3 method for class 'fPFOLIOBACKTEST'
getWindows(object)
## S3 method for class 'fPFOLIOBACKTEST'
getWindowsFun(object)
## S3 method for class 'fPFOLIOBACKTEST'
getWindowsParams(object)
## S3 method for class 'fPFOLIOBACKTEST'
getWindowsHorizon(object)

## S3 method for class 'fPFOLIOBACKTEST'
getStrategy(object)
## S3 method for class 'fPFOLIOBACKTEST'
getStrategyFun(object)
## S3 method for class 'fPFOLIOBACKTEST'
getStrategyParams(object)

## S3 method for class 'fPFOLIOBACKTEST'
getSmoother(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherFun(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherParams(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherLambda(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherDoubleSmoothing(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherInitialWeights(object)
## S3 method for class 'fPFOLIOBACKTEST'
getSmootherSkip(object)

## S3 method for class 'fPFOLIOBACKTEST'
getMessages(object)

Arguments

object

an object of class fPFOLIOBACKTEST as returned by function portfolioBacktest.

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.