Package: portfolioBacktest 0.4.1

portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

Automated backtesting of multiple portfolios over multiple datasets of stock prices in a rolling-window fashion. Intended for researchers and practitioners to backtest a set of different portfolios, as well as by a course instructor to assess the students in their portfolio design in a fully automated and convenient manner, with results conveniently formatted in tables and plots. Each portfolio design is easily defined as a function that takes as input a window of the stock prices and outputs the portfolio weights. Multiple portfolios can be easily specified as a list of functions or as files in a folder. Multiple datasets can be conveniently extracted randomly from different markets, different time periods, and different subsets of the stock universe. The results can be later assessed and ranked with tables based on a number of performance criteria (e.g., expected return, volatility, Sharpe ratio, drawdown, turnover rate, return on investment, computational time, etc.), as well as plotted in a number of ways with nice barplots and boxplots.

Authors:Daniel P. Palomar [cre, aut], Rui Zhou [aut]

portfolioBacktest_0.4.1.tar.gz
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portfolioBacktest_0.4.1.tgz(r-4.4-any)portfolioBacktest_0.4.1.tgz(r-4.3-any)
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portfolioBacktest.pdf |portfolioBacktest.html✨
portfolioBacktest/json (API)
NEWS

Peer review:

Bug tracker:https://github.com/dppalomar/portfoliobacktest/issues

On CRAN:

backtestingfinancial-marketsportfolio

19 exports 59 stars 3.36 score 42 dependencies 65 scripts 1.2k downloads

Last updated 2 years agofrom:c5b82196c0. Checks:OK: 7. Indexed: yes.

Exports:add_performancebacktestBoxPlotbacktestChartCumReturnbacktestChartDrawdownbacktestChartSharpeRatiobacktestChartStackedBarbacktestLeaderboardbacktestSelectorbacktestSummarybacktestTablefinancialDataResamplegenRandomFunslistPortfoliosWithFailuresplotPerformanceVsParamsportfolioBackteststockDataDownloadstockDataResamplesummaryBarPlotsummaryTable

Dependencies:clicolorspacecurldigestevaluatefansifarverggplot2gluegtableisobandjsonlitelabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepbapplyPerformanceAnalyticspillarpkgconfigquadprogquantmodR.methodsS3R.ooR.utilsR6RColorBrewerrlangscalestibbleTTRutf8vctrsviridisLitewithrxtszoo