EE.port_backtest: back test function for ets
In QianMazi/MaziBox:
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
1
2
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.
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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
1 2 | 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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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