wfo_summary: Create a summary of key statistics from a Walk-Forward...

Description Usage Arguments Value See Also

View source: R/wfo_summary.R

Description

Change this to do the following: - add $modelpar to the summary structure - add $ec for the equity curve xts - add $rets for the equity curve returns

Usage

1
wfo_summary(wfodata, modelpar = NA, rebal_offset = 0)

Arguments

wfodata

The data structure containing the walk-forward optimization information. It should be of the proper class to run the right underlying code generating the summary.

modelpar

An object (usually a list) containing all the parameters to rebuild the model and generate wfodata. This is stored as item modelpar in the object returned.

rebal_offset

The offset in days past the weight rebalance date and when the portfolio is balanced. Default is zero, which means the portfolio is rebalanced on the very next day after the weights date i.e. it include the next day's return, therefore the rebalance is done on the weight date closing prices.

Value

Returns an appropriate data structure summarizing the WFO run under analysis. This normally includes an equity curve and, if a statfolio was provided, it would also include additional times series that quantifies the statistical properties of the set of equity curves resulting from the statfolio (details TBD).

See Also

wfo_statfolio


jeanmarcgp/ResilientPortfolio documentation built on April 8, 2018, 5:43 p.m.