perf_metrics

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

perf_metrics function

<dl><dt>ret_dt</dt>
<dd>data.table/data.frame with columns <code>Date</code> and <code>ret</code>.</dd>
<dt>freq</dt>
<dd>Integer periods-per-year for annualization (e.g., 52 or 252).</dd></dl>

Arguments

Portfolio performance metrics — perf_metrics

<dl>

<dt>ret_dt</dt>
<dd>data.table/data.frame with columns <code>Date</code> and <code>ret</code>.</dd>


<dt>freq</dt>
<dd>Integer periods-per-year for annualization (e.g., 52 or 252).</dd>

</dl>

perf_metrics: Portfolio performance metrics

Description

Usage

Value

Arguments