backtest: Backtester
In Bjerring/rispackage4: RIS alpha

Description Usage Arguments Details Value Note Author(s) Examples

Performance a backtest of a investmentstrategy with annual rebalancing

1	backtest(data, risk, Cno)

`data`	Return matrix for with historic data
`risk`	Risk profil (low,medium,high)
`Cno`	Number of clusters for the hierarchical clustering

used to backtest and evaluate performance

returns accummulated wealth over a period specified by the return matrix

RIS

Thomas

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (data, risk, Cno) 
{
    btPeriods <- round(dim(data)[1] - dim(data)[2] * 2)
    wealth <- rep(1, btPeriods)
    rebalanc <- dim(data)[1]/52
    ret <- list()
    time <- names(data[(length(data[, 1]) - btPeriods):(length(data[, 
        1])), 1])
    for (t in 1:btPeriods) {
        data.avail <- data[t:(length(data[, 1]) - btPeriods + 
            t - 1), ]
        data.act <- data[(length(data[, 1]) - btPeriods + t), 
            ]
        if (t == 1 || (t%%rebalanc) == 0) {
            allocate <- Selector(data.avail, risk, Cno)
            alloc <- rep(1/Cno, Cno)
            names(alloc) <- allocate
        }
        wealth[t + 1] <- wealth[t] * sum(alloc * data.act[allocate])
    }
    names(wealth) <- rownames(data)[(length(rownames(data)) - 
        length(wealth) + 1):length(rownames(data))]
    return(wealth)
  }