Computes rolling statistics for backtest analysis
backtestStats(object, FUN = "rollingSigma", ...)rollingSigma(object)
rollingVaR(object)
rollingCVaR(object)
rollingDaR(object)
rollingCDaR(object)
a list, returned from running the function
portfolioSmoothing.
a character string, specifying the name of the rolling statistics function.
optional argument to be passed to the rolling statistics
function FUN.
The function rollingSigma calculates the portfolio risk,
Sigma, over time.
The function rollingVaR calculates a rolling Value at Risk.
The function rollingCVaR calculates a rolling Conditional
Value at Risk.
The function rollingDaR calculates a rolling Drawdowns at
Risk.
The function rollingCDaR calculates a rolling Conditional
Drawdowns at Risk.
W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.