rollingStats: Rolling portfolio backtesting statistics

In fPortfolioBacktest: Rmetrics - Portfolio Backtesting

Description

Computes rolling statistics for backtest analysis

Usage

   
backtestStats(object, FUN = "rollingSigma", ...)

rollingSigma(object)
rollingVaR(object)
rollingCVaR(object)
rollingDaR(object)
rollingCDaR(object)

Arguments

object	a list, returned from running the function portfolioSmoothing.
FUN	a character string, specifying the name of the rolling statistics function.
...	optional argument to be passed to the rolling statistics function FUN.

Details

The function rollingSigma calculates the portfolio risk, Sigma, over time.

The function rollingVaR calculates a rolling Value at Risk.

The function rollingCVaR calculates a rolling Conditional Value at Risk.

The function rollingDaR calculates a rolling Drawdowns at Risk.

The function rollingCDaR calculates a rolling Conditional Drawdowns at Risk.

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,
     trace = TRUE)  
     
## Rolling Variance Sigma - 
   series <- rollingSigma(smoothedPortfolios)
   plot(series, main = "Rolling Variance")

## Rolling Value at Risk -
   series <- rollingVaR(smoothedPortfolios)
   plot(series, main = "Rolling VaR")

## Rolling Conditional Value at Risk -
   series <- rollingCVaR(smoothedPortfolios)
   plot(series, main = "Rolling CVaR")

## Rolling Drawdown at Risk -
   series <- rollingDaR(smoothedPortfolios)
   plot(series, main = "Rolling DaR")

## Rolling Conditional Drawdown at Risk -
   series <- rollingCDaR(smoothedPortfolios)
   plot(series, main = "Rolling CDaR")
   
## Rolling Conditional Drawdown at Risk -
   series <- backtestStats(smoothedPortfolios, "rollingCDaR")
   plot(series, main = "Rolling CDaR")

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