backtest-specification: Specification of portfolio backtesting
In fPortfolio: Rmetrics - Portfolio Selection and Optimization

backtest-specification

R Documentation

Specification of portfolio backtesting

Description

Specifies how the portfolio backtesting is performed.

Usage

portfolioBacktest(
    windows = list(
        windows = "equidistWindows", 
        params = list(horizon = "12m")),
    strategy = list(
        strategy = "tangencyStrategy", 
        params = list()),
    smoother = list(
        smoother = "emaSmoother", 
        params = list(doubleSmoothing = TRUE, 
        lambda = "3m", skip = 0, 
        initialWeights = NULL)),
    messages = list())

Arguments

`windows`	a list, containing different arguments: windows, params (horizon).
`strategy`	a list, containing different arguments: strategy, params.
`smoother`	a list, containing different arguments: smoother, params. (doubleSmoothing, lambda, skip, initialWeights).
`messages`	a list containing the backtesting messages.

Value

returns an S4 object of class "fPFOLIOBACKTEST".

References

W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.