backtest-portfolio {fPortfolio}

Portfolio backtesting

Description

Tests a portfolio by a rolling backtest.

Usage

  
portfolioBacktesting(formula, data, spec = portfolioSpec(), 
    constraints = "LongOnly", backtest = portfolioBacktest(), 
    trace = TRUE)

portfolioSmoothing(object, backtest, trace = TRUE)    

Arguments

formula

a formula describing the benchmark and assets used for backtesting in the form backtest ~ assetA + ... + assetZ. Here, backtest and asset* are column names of the data set.

data

an object of class timeSeries.

spec

an S4 object of class fPFOLIOSPEC as returned by the function portfolioSpec.

constraints

a character string value or vector defining the constraints, for details we refer to portfolioConstraints.

backtest

an S4 object of class fPFOLIOBACKTEST as returned by the function portfolioBacktest.

object

a list as returned by the function portfolioBacktesting.

trace

a logical flag, by default TRUE. Should the backtersting be traced?

References

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