Other packages > Find by keyword >

portfolioBacktest  

Automated Backtesting of Portfolios over Multiple Datasets
View on CRAN: Click here


Download and install portfolioBacktest package within the R console
Install from CRAN:
install.packages("portfolioBacktest")

Install from Github:
library("remotes")
install_github("cran/portfolioBacktest")

Install by package version:
library("remotes")
install_version("portfolioBacktest", "0.4.1")



Attach the package and use:
library("portfolioBacktest")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-06-19
Latest Update: 2022-04-22
Description:
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.
How to cite:
Daniel P. Palomar (2019). portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets. R package version 0.4.1, https://cran.r-project.org/web/packages/portfolioBacktest. Accessed 07 Nov. 2024.
Previous versions and publish date:
0.1.0 (2019-06-19 13:40), 0.1.1 (2019-07-06 00:10), 0.2.0 (2019-08-23 15:00), 0.2.1 (2019-10-07 17:20), 0.2.2 (2020-08-03 12:50), 0.2.3 (2021-01-12 09:50), 0.3.0 (2021-09-21 15:10), 0.3.1 (2021-10-17 22:00)
Other packages that cited portfolioBacktest R package
View portfolioBacktest citation profile
Other R packages that portfolioBacktest depends, imports, suggests or enhances
Complete documentation for portfolioBacktest
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

robregcc  
Robust Regression with Compositional Covariates
We implement the algorithm estimating the parameters of the robust regression model with composition ...
Download / Learn more Package Citations See dependency  
con2aqi  
Calculate the AQI from Pollutant Concentration
To calculate the AQI (Air Quality Index) from pollutant concentration data. O3, PM2.5, PM10, CO, SO ...
Download / Learn more Package Citations See dependency  
bacondecomp  
Goodman-Bacon Decomposition
Decomposition for differences-in-differences with variation in treatment timing from Goodman-Bacon ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  

23,092

R Packages

198,677

Dependencies

62,675

Author Associations

23,089

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA