calc_momentum

Calculates momentum as the percentage change in price over a specified
lookback period. Optimized using column-wise operations (25x faster).

Design, backtest, and analyze portfolio strategies using simple,
English-like function chains. Includes technical indicators, flexible stock
selection, portfolio construction methods (equal weighting, signal weighting,
inverse volatility, hierarchical risk parity), and a compact backtesting
engine for portfolio returns, drawdowns, and summary metrics.

Alberto Pallotta

PortfolioTesteR

Test Investment Strategies with English-Like Code

calc_momentum function

<dl><dt>data</dt>
<dd>A data.frame or data.table with Date column and price columns</dd>
<dt>lookback</dt>
<dd>Number of periods for momentum calculation (default: 12)</dd></dl>

Arguments

Calculate Price Momentum — calc_momentum

<dl>

<dt>data</dt>
<dd>A data.frame or data.table with Date column and price columns</dd>


<dt>lookback</dt>
<dd>Number of periods for momentum calculation (default: 12)</dd>

</dl>

calc_momentum: Calculate Price Momentum

Description

Usage

Value

Arguments

Examples