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fPortfolio (version 3011.81)

backtest-extractors: Portfolio backtest specification extractors

Description

Extracts information from an object of class fPFOLIOBACKTEST.

The functions are:

getWindows Extract windows slot,

getWindowsFun

extract windows function,

getWindowsParams

extract a list of windows specific parameters,

getWindowsHorizon

extract windows horizon,

getStrategy

extract strategy slot,

getStrategyFun

extract the portfolio strategy function,

getStrategyParams

extract a list of portfolio strategy specific parameters,

getSmoother

extract the smoother slot,

getSmootherFun

Extract the Ssoother function,

getSmootherParams

extract a list of Smoothing specific parameters,

getSmootherLambda

extract the smoothing parameter Lambda,

getSmootherDoubleSmoothing

extract setting for double smoothing,

getSmootherInitialWeights

extract the initial weights to used in the smoothing,
getSmootherSkip extract the number of skipped months,

Usage

# S3 method for fPFOLIOBACKTEST
getWindows(object)
# S3 method for fPFOLIOBACKTEST
getWindowsFun(object)
# S3 method for fPFOLIOBACKTEST
getWindowsParams(object)
# S3 method for fPFOLIOBACKTEST
getWindowsHorizon(object)
# S3 method for fPFOLIOBACKTEST
getStrategy(object)
# S3 method for fPFOLIOBACKTEST
getStrategyFun(object)
# S3 method for fPFOLIOBACKTEST
getStrategyParams(object)
# S3 method for fPFOLIOBACKTEST
getSmoother(object)
# S3 method for fPFOLIOBACKTEST
getSmootherFun(object)
# S3 method for fPFOLIOBACKTEST
getSmootherParams(object)
# S3 method for fPFOLIOBACKTEST
getSmootherLambda(object)
# S3 method for fPFOLIOBACKTEST
getSmootherDoubleSmoothing(object)
# S3 method for fPFOLIOBACKTEST
getSmootherInitialWeights(object)
# S3 method for fPFOLIOBACKTEST
getSmootherSkip(object)
# S3 method for fPFOLIOBACKTEST
getMessages(object)

Arguments

object

an object of class fPFOLIOBACKTEST as returned by function portfolioBacktest.

References

W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.