Automated Backtesting of Portfolios over Multiple Datasets


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Documentation for package ‘portfolioBacktest’ version 0.2.1

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portfolioBacktest-package portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets
backtestBoxPlot Create boxplot from backtest results
backtestChartCumReturns Chart of the cumulative returns or wealth for a single backtest
backtestChartDrawdown Chart of the drawdown for a single backtest
backtestChartStackedBar Chart of the weight allocation over time for a portfolio over a single backtest
backtestLeaderboard Leaderboard of portfolios from the backtest results
backtestSelector Selector of portfolio backtest results
backtestSummary Summary of portfolio backtest
backtestTable Table with portfolio backtest results
dataset10 Ten datasets obtained by resampling the S&P 500
genRandomFuns Generate multiple versions of a function with randomly chosen parameters
plotPerformanceVsParams Plot performance of portfolio function vs choice of parameters
portfolioBacktest Backtest multiple portfolios over multiple datasets of stock prices in a rolling-window basis
SP500_symbols Stock symbols of the S&P 500 constituents
stockDataDownload Download stock data from the Internet
stockDataResample Generate random resamples from stock data
summaryBarPlot Create barplot from backtest summary
summaryTable Create table from backtest summary