R/backtest.R

In Bjerring/rispackage4: RIS alpha

backtest <- function(data,risk,Cno){
  
  btPeriods <- round(dim(data)[1] - 4*52)  # backtesting periods
  wealth <- rep(100000,btPeriods) # wealth development
  rebalanc <- dim(data)[1]/26 # number of weeks before rebalancing
  ret <- list() # return parameter
  time <- names(data[(length(data[,1]) - btPeriods):(length(data[,1])),1])
  
  for(t in 1:btPeriods){
    
    # Available historic returns  up until t-1
    data.avail <- data[t:(length(data[,1]) - btPeriods + t - 1),]
    
    # Actual return in period t
    data.act <- data[(length(data[,1]) - btPeriods + t),]
    
    # allocate assets every 12 months
    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])
  }
  dates <- rownames(data)[(length(rownames(data))-length(wealth)+1):length(rownames(data))]
  #tmp.date <- unlist(strsplit(dates,'-',))
  
  #day <- as.numeric(tmp.date[seq(1,length(tmp.date),3)])
  #month <- match(tmp.date[seq(2,length(tmp.date),3)],month.abb)
  #year <- as.numeric(tmp.date[seq(3,length(tmp.date),3)])+2000

  #n.dates <- paste(year,month,day,sep="-")
  #names(wealth) <- n.dates
  names(wealth) <- dates
  
  return(wealth)
  
}