backtest-getMethods: Portfolio Backtest Extractors

Description Arguments References Examples

Description

Extractor functions to get information from objects of class fPFOLIOBACKTEST.

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.

Examples

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## portfolioBacktest Specification -
   backtestSpec = portfolioBacktest()
   backtestSpec
    
## Extract Windows Information -  	
   getWindows(backtestSpec) 
   getWindowsFun(backtestSpec) 
   getWindowsParams(backtestSpec) 
   getWindowsHorizon(backtestSpec) 
   
## Extract Strategy Information - 
   getStrategy(backtestSpec) 
   getStrategyFun(backtestSpec) 
   getStrategyParams(backtestSpec) 
   
## Extract Smoother Information - 
   getSmoother(backtestSpec) 
   getSmootherFun(backtestSpec) 
   getSmootherParams(backtestSpec) 						
   getSmootherLambda(backtestSpec) 
   getSmootherDoubleSmoothing(backtestSpec) 
   getSmootherInitialWeights(backtestSpec) 
   getSmootherSkip(backtestSpec) 

Example output

Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics
Loading required package: fAssets


Rmetrics Package fAssets
Analysing and Modeling Financial Assets
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org


Rmetrics Package fPortfolio
Portfolio Optimization
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org

Backtest Specification:	

 Windows Function:            equidistWindows
 Windows Params:	
  - horizon                   12m

 Strategy Function:           tangencyStrategy
 Strategy Params:	

 Smoother Function:           emaSmoother
 Smoother Params:	
  - doubleSmoothing           TRUE
  - lambda                    3m
  - skip                      0
  - initialWeights            

 Messages:                    

$windows
[1] "equidistWindows"

$params
$params$horizon
[1] "12m"


[1] "equidistWindows"
$horizon
[1] "12m"

[1] "12m"
$strategy
[1] "tangencyStrategy"

$params
list()

[1] "tangencyStrategy"
list()
$smoother
[1] "emaSmoother"

$params
$params$doubleSmoothing
[1] TRUE

$params$lambda
[1] "3m"

$params$skip
[1] 0

$params$initialWeights
NULL


[1] "emaSmoother"
$doubleSmoothing
[1] TRUE

$lambda
[1] "3m"

$skip
[1] 0

$initialWeights
NULL

[1] "3m"
[1] TRUE
NULL
[1] 0

fPortfolio documentation built on March 26, 2020, 9:17 p.m.