R/futuretest.R

In Bjerring/RISpackage2: RIS alpha

futuretest <- function(data,ETFs){
  
  if(dim(data)[1]> 5*52){
    data.tmp <- data[(dim(data)[1]-5*52):dim(data)[1],]
    data <- data.tmp
  }
  #Run tsboot on any series using the selected block size
  R <- 200      # scenario
  l <- 4        # block size
  n.sim <- 52*5 # length of scenario path
  
  # perform block bootstrapping 
  bootstrap <- tsboot(data,mean,R=R,l=l, n.sim=n.sim,sim="fixed")
  ba <- boot.array(bootstrap)
  
  #Use index from bootstrap output to reconstruct multivariate time series
  port.scen <- array(0, dim=c(R,n.sim))
  for(i in 1:R){
    port.scen[i,] <- cumprod(1/length(ETFs)*apply(data[ba[i,],],1,sum))
  }
  
quantiles <- cbind(c(100000,100000,100000,100000,100000),100000*apply(port.scen,2,quantile,probs=c(.05,0.25,0.5,0.75,0.95))-1)
  
return(quantiles)
  
}