roll_ic_stats

Compute rolling information coefficient (IC) statistics from a per-date IC series.

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

roll_ic_stats function

<dl><dt>ic_dt</dt>
<dd>Data frame/data.table produced by <code>ic_series</code> with columns <code>Date</code> and <code>IC</code>.</dd>
<dt>window</dt>
<dd>Integer window length for the rolling statistics.</dd></dl>

Arguments

Rolling IC mean, standard deviation, and ICIR — roll_ic_stats

<dl>

<dt>ic_dt</dt>
<dd>Data frame/data.table produced by <code>ic_series</code> with columns <code>Date</code> and <code>IC</code>.</dd>


<dt>window</dt>
<dd>Integer window length for the rolling statistics.</dd>

</dl>

roll_ic_stats: Rolling IC mean, standard deviation, and ICIR

Description

Usage

Value

Arguments

Details