backtestPortfolioGBM: Backtester for GBM Kelly-portfolio strategy
In shill1729/trader: Mathematical finance analysis package

backtestPortfolioGBM

R Documentation

Backtester for GBM Kelly-portfolio strategy

Description

Backtest the Kelly-portfolio on a set of stock prices. The vector of drifts and covariance matrix are estimated using either the entire sample set or a rolling window of it.

Usage

backtestPortfolioGBM(
  stocks,
  rolling = TRUE,
  bankroll = 1500,
  rate = 0,
  restraint = 0.9,
  numDays = 30,
  sampleSize = 30
)

Arguments

`stocks`	the data set of stocks
`rolling`	boolean for rolling estimates
`bankroll`	initial bankroll
`rate`	risk-free rate
`restraint`	max percentage of wealth to use
`numDays`	number of days to trade for
`sampleSize`	number of days for initial sample size in training data or rolling window size