CRAN/E | portfolioBacktest

portfolioBacktest

Automated Backtesting of Portfolios over Multiple Datasets

Installation

About

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.

CRAN.R-project.org/package=portfolioBacktest
github.com/dppalomar/portfolioBacktest
Bug report File report

Key Metrics

Version 0.4.1
R ≥ 2.10
Published 2022-04-22 707 days ago
Needs compilation? no
License GPL-3
CRAN checks portfolioBacktest results

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Maintainer

Maintainer

Daniel P. Palomar

daniel.p.palomar@gmail.com

Authors

Daniel P. Palomar

cre / aut

Rui Zhou

aut

Material

README
NEWS
Reference manual
Package source

Vignettes

Portfolio Backtesting

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

portfolioBacktest archive

Depends

R ≥ 2.10

Imports

digest
evaluate
ggplot2
pbapply
PerformanceAnalytics
parallel
quadprog
quantmod
R.utils
rlang
stats
utils
xts
zoo

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