portfolioSim-class: Class "portfolioSim"

In portfolioSim: Framework for simulating equity portfolio strategies

Description

When beginning a new simulation, the first step is to construct an object of class portfolioSim which will contain all the information required by the simulator. An instance of class portfolioSim represents a unique simulation, which can then be run at any time by calling the runSim method.

Objects from the Class

Objects can be created by calls of the form new("portfolioSim", ...).

Slots

periods:

A data frame listing the periods to be used in the simulation. Each period represents a single iteration of the simulator, in which a new set of trades is calculated and carried out. The periods data frame must have columns period, start, and end. The period column contains labels which are used throughout the simulator to represent each period. The start and end columns are used to differentiate between saved data from before and after the trades are performed in each period. Generally, these columns should contain the actual dates corresponding to each period.

freq:

The annual frequency of the periods listed in the periods slot. For example, the frequency corresponding to the periods data frame shown above is be 4. When running a simulation with monthly periods, the frequency should be 12. With daily periods, it should be 252, the total number of trading days in a year.

trades.interface:

A trades interface object of some class containing the virtual class simTradesInterface. The trades interface represents the implementation of the trading stategy to be tested in the simulation. Based on the current portfolio and the data available for a given period, the trades interface contains some mechanism for determining a set of trades to make. These trades are encapsulated in a simTrades object which the interface returns to the simulator.

data.interface:

A data interface object of some class containing the virtual class simDataInterface. The data interface serves to transform the raw data used in the simulation into an object of class simData, containing information on a single period.

summary.interface:

An optional summary interface object of a class containing the virtual class simSummaryInterface. The summary interface allows the user to specify information to be saved out during the simulation beyond that supported by the result classes instantData and periodData.

start.holdings:

A portfolio object representing the portfolio at the start of the simulation. If this slot is not specified, the simulator starts with an empty portfolio. See the documentation in the portfolio package for information on constructing a portfolio.

fill.volume.pct:

Object of class "numeric" describing the maxiumum percentage of the daily trading volume of a stock that the simulator is allowed to trade in a single period. The default is 15. If set to Inf, all trades produced by the trades interface will be done, regardless of whether some of the associated securities are absent in sim data or have an NA market data for the period.

exp.var:

An object of class "character" listing additional variables to be used when analyzing the exposures for each period.

contrib.var:

Object of class "character" listing additional variables to be used when analyzing the contributions for each period.

out.loc:

Object of class "character" describing the location at which to save the results of the simulation.

out.type:

Object of class "character" listing the types of data to be saved out.

Methods

initialize

signature(.Object = "portfolioSim"): Checks for and initializes preset type combinations.

runSim

signature(object = "portfolioSim"): Run the simulation.

Author(s)

Jeff Enos [e-mail]

portfolioSim documentation built on May 1, 2019, 9:23 p.m.