backtestBeta2Neutral: Backtest a two-asset beta neutral strategy
In shill1729/trader: Mathematical finance analysis package

backtestBeta2Neutral

R Documentation

Backtest a two-asset beta neutral strategy

Description

Idealized backtest on closing prices under a 2-asset beta neutral strategy. The estimating of the betas can be done on a rolling basis, optionally. Returns various measures of performance and plots the total log-growth of the indidivual assets compared to the benchmark and the beta-neutral portfolio.

Usage

backtestBeta2Neutral(
  asset,
  rolling,
  bankroll,
  rate,
  numDays,
  sampleSize,
  fraction
)

Arguments

`asset`	the high beta asset to long
`rolling`	whether to use a rolling window of size `sampleSize`
`bankroll`	initial bankroll
`rate`	the risk-free rate earned on cash
`numDays`	number of days to trade
`sampleSize`	initial training data size/rolling window size
`fraction`	fraction to trade in stocks versus cash