Description Usage Arguments Details References Examples
Computes rolling statistics for backtest analysis
1 2 3 4 5 6 7 8 |
backtestStats(object, FUN = "rollingSigma", ...)
rollingSigma(object)
rollingVaR(object)
rollingCVaR(object)
rollingDaR(object)
rollingCDaR(object)
|
object |
a list, returned from running the function
|
FUN |
a character string, specifying the name of the rolling statistics function. |
... |
optional argument to be passed to the rolling statistics
function |
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.
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 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 | ## 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")
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