00fBacktest-package: Package for Portfolio Backtesting

In fPortfolioBacktest: Rmetrics - Portfolio Backtesting

Description

fPortfolioBacktest is a portfolio backtesting package which allows users to personally define functions which calibrates the backtesting procedure. These functions are refered to as "user" functions. The package comes with pre-defined functions that defines the rolling windows, portfolio strategy and smoothing style.

The main backtest functions are portfolioBacktesting and portfolioSmoothing, and also a new S4 class is introduced in this package, 'fPFOLIOBACKTEST' which handles backtest specifications.

Details

Package:	fPortfolioBacktest
Type:	Package
Version:	290.02
Date:	2009-04-18
License:	GPL Version 2 or later

References

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

fPortfolioBacktest documentation built on May 2, 2019, 5:23 p.m.