View source: R/backtestSummary.R
backtestSummary | R Documentation |
Summarize the results from a portfolio backtest.
backtestSummary( bt, portfolio_indexes = NA, portfolio_names = NA, summary_fun = median, show_benchmark = TRUE )
bt |
Backtest results as produced by the function |
portfolio_indexes |
Numerical vector of portfolio indexes whose performance will be summarized,
e.g., |
portfolio_names |
String vector of portfolio names whose performance will be summarized,
e.g., |
summary_fun |
Summary function to be employed (e.g., |
show_benchmark |
Logical value indicating whether to include benchmarks in the summary (default is |
List with the following elements:
|
Performance criteria:
|
|
Error messages generated by each portfolio function over each dataset. Useful for debugging purposes. |
Rui Zhou and Daniel P. Palomar
library(portfolioBacktest) data(dataset10) # load dataset # define your own portfolio function EWP_portfolio <- function(dataset, ...) { N <- ncol(dataset$adjusted) return(rep(1/N, N)) } # do backtest bt <- portfolioBacktest(list("EWP" = EWP_portfolio), dataset10) # show the summary bt_sum <- backtestSummary(bt) names(bt_sum) bt_sum$performance_summary
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.