netPerformance: Portfolio backtesting net performance

In fPortfolioBacktest: Rmetrics - Portfolio Backtesting

Description

Displays plot of rebased portfolio performance and summary statistics.

Usage

   
netPerformance(object, format = "%Y-%m-%d")

Arguments

object	a list, returned from running the function portfolioSmoothing.
format	a character string of the date format used

Value

A plot of rebased portfolio returns and tables summarising portfolio performance over time.

Note

This function will become obsolete by functions provided in the upcoming fPortfolioPerformance package.

References

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

Examples

## Specifications - 
   swxData <- 100 * SWX.RET 
   swxSpec <- portfolioSpec()
   swxBacktest <- portfolioBacktest()
   setWindowsHorizon(swxBacktest) = "18m"
   swxFormula <- LP40 ~ SBI + SPI + SII

## Portfolio Backtesting -
   portfolios <- portfolioBacktesting(
     formula = swxFormula, 
     data = swxData, 
     spec = swxSpec, 
     constraints = "LongOnly", 
     backtest = swxBacktest, 
     trace = TRUE)

## Smoothed Rebalancing -   
   smoothedPortfolios <- portfolioSmoothing(
     object = portfolios, 
     backtest = swxBacktest)  
     
## Net Peformance - 
   netPerformance(smoothedPortfolios)

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