portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

Automated backtesting of multiple portfolios over multiple datasets of stock prices in a rolling-window fashion. Intended for researchers and practitioners to backtest a set of different portfolios, as well as by a course instructor to assess the students in their portfolio design in a fully automated and convenient manner, with results conveniently formatted in tables and plots. Each portfolio design is easily defined as a function that takes as input a window of the stock prices and outputs the portfolio weights. Multiple portfolios can be easily specified as a list of functions or as files in a folder. Multiple datasets can be conveniently extracted randomly from different markets, different time periods, and different subsets of the stock universe. The results can be later assessed and ranked with tables based on a number of performance criteria (e.g., expected return, volatility, Sharpe ratio, drawdown, turnover rate, return on investment, computational time, etc.), as well as plotted in a number of ways with nice barplots and boxplots.

Package details

AuthorDaniel P. Palomar [cre, aut], Rui Zhou [aut]
MaintainerDaniel P. Palomar <[email protected]>
LicenseGPL-3 | file LICENSE
Version0.1.1
URL https://CRAN.R-project.org/package=portfolioBacktest https://github.com/dppalomar/portfolioBacktest
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("portfolioBacktest")

Try the portfolioBacktest package in your browser

Any scripts or data that you put into this service are public.

portfolioBacktest documentation built on July 6, 2019, 1:03 a.m.