Description Usage Arguments References Examples
Tests a portfolio by a rolling backtest.
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portfolioBacktesting(formula, data, spec = portfolioSpec(),
constraints = "LongOnly", backtest = portfolioBacktest(),
trace = TRUE)
portfolioSmoothing(object, backtest, trace = TRUE)
|
formula |
a formula describing the benchmark and assets used for backtesting
in the form |
data |
an object of class |
spec |
an S4 object of class |
constraints |
a character string value or vector defining the constraints, for
details we refer to |
backtest |
an S4 object of class |
object |
a list as returned by the function |
trace |
a logical flag, by default TRUE. Should the backtersting be traced? |
W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | ## 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,
trace = TRUE)
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