build.test.case: Comparison of 3 strategies
In kkhamutou/MarkowitzUW: Advanced R Project

A function is used to compare 3 different stretagies: sharp ration, rational invetor and random investor based on training dataset.Then, it applies derived weights to test dataset to see the performance of those strategies.

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build.test.case(nportfolios, nassets, start_date, end_date,
  riskFreeRate = 0, collapse = c("daily", "weekly", "monthly",
  "quarterly", "annual"), api_key)

`nportfolios`	An integer, number of portfolios to be generated
`nassets`	An integer, number of stock in a portfolio
`start_date`	A Date object, format="YYYY-MM-DD". Retrieve data rows on and after the specified start date.
`end_date`	A Date object, format="YYYY-MM-DD". Retrieve data rows up to and including the specified end date.
`collapse`	Change the sampling frequency of the returned data. Default is none; i.e., data is returned in its original granularity.
`api_key`	A string, authentication toket for a Quandl user.

list, training=market training dataset, test=market test dataset, sharp=performance of sharp ratio on test dataset, rational=performance of rational investor on test dataset, random=performance of random investor on test dataset.

kkhamutou/MarkowitzUW documentation built on June 10, 2019, 8:17 a.m.