cap_turnover

Cap turnover sequentially across dates

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

cap_turnover function

<dl><dt>weights</dt>
<dd>desired weight panel.</dd>
<dt>max_turnover</dt>
<dd>maximum per-rebalance turnover (0..1).</dd></dl>

Arguments

Cap turnover sequentially across dates — cap_turnover

<dl>

<dt>weights</dt>
<dd>desired weight panel.</dd>


<dt>max_turnover</dt>
<dd>maximum per-rebalance turnover (0..1).</dd>

</dl>

cap_turnover: Cap turnover sequentially across dates

Description

Usage

Value

Arguments