model_update_rso20_roc: Computes out-of-sample performance for the RSO models. Run...

In greatgray/scorecard: GGCM Model Performance Scorecard

Description

Computes out-of-sample performance for the RSO models. Run and report update for fixed model configuration. Uses model configuration passed in by way of scorecard row attributes.

Usage

model_update_rso20_roc(scorecard_row)

Arguments

scorecard_row

a row of the scorecard definition identifying the model configuration and other attributes

Value

the same scorecard row object, but with a new list element oos appended. The oos element contains a list of RSO model OOS performance results, including theoretical returns (r), cumulative return (c), model basket component returns (component_returns), compound annual growth rate of returns (cagr), Calmar ratio (calmar), Sortino ratio (sortino), maximum drawdown percent (mdd), a time history of RSO rankings (rank) and their plot (rank_p), and a list of plots (plots) containing five plots related to RSO calculations (p1, p2, p3, p4 and p5).

Note

Does not yet do rebalancing.

Does not yet do trailing stops.

See Also

model_update_rso20_roc

greatgray/scorecard documentation built on May 17, 2019, 8:34 a.m.