portfolioBacktestSpec: Specification of portfolio backtesting

In fPortfolioBacktest: Rmetrics - 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.

Examples

## portfolioBacktest -
   # Show Default Portfolio Backtest Specifications:
   backtest = portfolioBacktest()
   
## getWindowsFun -
   # Get rolling windows function
   getWindowsFun(backtest) 
      
## setWindowsHorizon -
   # Modify Rolling windows horizon
   setWindowsHorizon(backtest) <- "12m"
   backtest

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