EE.port_backtest: back test function for ets

Description Usage Arguments Value

Description

the function is modified by port.backtest. This revised version could provide different date_end for each stock. The weight is set to eq for each trday. The date in ets is the buying date and the pct_chg in that date is not obtained. The date_end is the selling date and the pct_chg is included.

Usage

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EE.port_backtest(ets, wgt_limit = 0.1, output_type = c("port", "rtn"),
  fee.buy = 0, fee.sell = 0)

Arguments

ets

the ets object must contain the columns date, stockID and date_end.

wgt_limit

the biggest wgt of each stock.

Value

Same result type with port.backtest


QianMazi/MaziBox documentation built on May 8, 2019, 3:49 a.m.