runPortfolioBacktest: Run Portfolio Backtest and Plot

Description

Perform a backtest for a list of portfolio specifications. Portfolio objectives, constraints, rolling window, and rebalancing frequency can be customized using the same conventions as used in PortfolioAnalytics.

Usage

runPortfolioBacktest(
  return_portfolio,
  portfolio_list,
  portfolio_names,
  market_return = NULL,
  rebalance_on = NULL,
  rolling_window = NULL,
  optimize_method = "CVXR",
  moment_list = NULL,
  save_plot = TRUE,
  plot_path = "./",
  plot_name = "backtest",
  plot_main = NULL,
  plotType = "both",
  colorSet = NULL,
  ltySet = NULL,
  lwdSet = NULL
)

Value

A list:

returns: An xts matrix of period returns with one column per portfolio plus a "Market" column.
cumRet: An xts matrix of cumulative returns.
plot: The plot object returned by backtest.plot().

Arguments

return_portfolio: An xts matrix of asset returns. Column names must match the assets in each portfolio.spec object.
portfolio_list: A list of portfolio.spec objects built with PortfolioAnalytics.
portfolio_names: Character vector of names corresponding to each portfolio in portfolio_list.
market_return: An xts single-column object of benchmark returns.
rebalance_on: Character string passed to optimize.portfolio.rebalancing(). See endpoints for valid names.
rolling_window: Positive integer. Length of the rolling estimation window in periods.
optimize_method: Character string specifying the solver. Default "CVXR".
moment_list: If different moment functions are passed into multiple GMV portfolios, please define each moment function via this parameter. For the portfolio that do not require moment function, please pass NULL. Example: list('custom.covRob.Rocke', NULL, NULL).
save_plot: Logical. Whether to save the plot to a PNG file. Default TRUE.
plot_path: Character string. Full file path for the PNG output. Required when save_plot = TRUE.
plot_name: Plot name for the PNG output. Default "backtest".
plot_main: Plot title for the PNG output.
plotType: "cumRet", "drawdown", or the default is "both"
colorSet: Optional character vector of colors passed to backtest.plot().
ltySet: Optional integer vector of line types passed to backtest.plot().
lwdSet: Optional integer vector of line width passed to backtest.plot().

Examples

Run this code

args(runPortfolioBacktest)

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