backtest_buyandhold: backtest a buy and hold strategy
In benSepanski/pfselect:

backtest a buy and hold strategy

1	backtest_buyandhold(price_relative_matrix, transaction_rate, initial_portfolio)

`price_relative_matrix`	a matrix of price relatives, each row representing a trading period and each column an asset. A price relative is p_{t+1} / p_t, i.e. the ratio of trading price to next price. Prices change according to the price relatives after the trade, i.e. the price relatives for the trading period are not known at trading time
`transaction_rate`	The percentage of each transaction (buy and sell) spent on broker fees
`initial_portfolio`	a vector whose ith entry is the amount of wealth in the ith entry. Should be a portfolio for the assets in `price_relative_matrix`. This is the portfolio before the first trading period.

a matrix with the same number of columns and one more row than price_relative_matrix, row i is the portfolio after a trade during period i, i.e. right before the ith price relatives change the prices.

benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.