Nothing
## Recursive back-test
## Initialising variables
LO <- timeSeries(rep(NA, size), charvec = epoints)
LO[1] <- 100
PLevel <- 0.9
FLO <- LO[1, ] * PLevel
Returns <- REDWeekly[epoints, ]
MoneyRate <- 1.01^(1/52) - 1
## Simulation
for(i in 2:size){
BLO <- c(PLevel * LO[i - 1, ])
if(BLO < FLO){
LO[i, ] <- LO[i - 1, ] * (1 + MoneyRate)
} else {
re <- c(RE[i -1, ])
if(all(re <= 0)){
LO[i, ] <- LO[i - 1, ] * (1 + MoneyRate)
} else {
es <- c(ES[i -1, ])
r <- c(Returns[i, ])
B <- c(LO[i - 1, ]) / c(FLO) - 1
ans <- Lp(RE = re, ES = es, Buffer = B, ub = 0.4)
w <- ans$solution
LO[i, ] <- LO[i - 1, ] * (1 + t(w) %*% c(r))
}
}
}
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