backtestStats {fPortfolio} | R Documentation |
Rolling portfolio backtesting statistics
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
|
FUN |
a character string, specifying the name of the rolling statistics function. |
... |
optional argument to be passed to the rolling statistics
function |
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.