backtest_opt: Function to backtest a periodically optimized portfolio...
In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).
Description
Usage
Arguments
Details
Value
Examples
Description
This function repeatedly calls function optimize.portfolio in PortfolioAnalytics
to perform a backtest of a strategy requiring optimization. Since optimize.portfolio
can be slow to run, it provides periodic updates at each optimization date via a log
file. It is assumed to run on multiple CPU cores using foreach and the snow package.
Usage
1
2
backtest_opt(R, portfolio, optimize_method = "random",
search_size = 100)
Arguments
R
the returns
Details
This function uses the version 2 of optimize.portfolio. More details by
?optimize.portfolio.
Value
return value
Examples
1
jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.
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.
Description Usage Arguments Details Value Examples
Description
This function repeatedly calls function optimize.portfolio in PortfolioAnalytics to perform a backtest of a strategy requiring optimization. Since optimize.portfolio can be slow to run, it provides periodic updates at each optimization date via a log file. It is assumed to run on multiple CPU cores using foreach and the snow package.
Usage
1 2 | backtest_opt(R, portfolio, optimize_method = "random",
search_size = 100)
|
Arguments
R |
the returns |
Details
This function uses the version 2 of optimize.portfolio. More details by ?optimize.portfolio.
Value
return value
Examples
1 |
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.