portfolio_backtest: Porfolio backtest

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Porfolio backtest

Description

Estimates de covariance using weighted averages of products of past returns.

Usage

portfolio_backtest(weights, capital, currency, asset_data, series_backtest,
  fx_hedge_asset = rep(0, length(weights)), fwd_prem = NULL,
  hold_per = "1M", rebal_per_in_months = NA, slippage = 5,
  commission = 5, invest_assets = NULL)

Arguments

weights	Portfolio weights.
capital	Initial capital in reference currency.
currency	Reference currency.
asset_data	Datafrane with info regarding each asset.
series_backtest	xts series for backtest.
fx_hedge_asset	Forward hedge ratio per asset.
fwd_prem	forward premium corresponding to holding period (hold_per).
rebal_per_in_months	Rebalancing period in months.
slippage	Slippage basis points.
commission	Commission basis points.
invest_assets	Investable asset. By default: Index. It can be set to ETF or IA (investable asset).

Value

Backtesting results.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.