portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets

Automated backtesting of multiple portfolios over multiple datasets of stock prices in a rolling-window fashion. Intended for researchers and practitioners to backtest a set of different portfolios, as well as by a course instructor to assess the students in their portfolio design in a fully automated and convenient manner, with results conveniently formatted in tables and plots. Each portfolio design is easily defined as a function that takes as input a window of the stock prices and outputs the portfolio weights. Multiple portfolios can be easily specified as a list of functions or as files in a folder. Multiple datasets can be conveniently extracted randomly from different markets, different time periods, and different subsets of the stock universe. The results can be later assessed and ranked with tables based on a number of performance criteria (e.g., expected return, volatility, Sharpe ratio, drawdown, turnover rate, return on investment, computational time, etc.), as well as plotted in a number of ways with nice barplots and boxplots.

Version: 0.2.0
Depends: R (≥ 2.10)
Imports: digest, doSNOW, evaluate, foreach, ggplot2, PerformanceAnalytics, quantmod, R.utils, snow, utils, xts, zoo
Suggests: CVXR, DT, gridExtra, knitr, prettydoc, readtext, rmarkdown, R.rsp, rlang, stringi, testthat
Published: 2019-08-23
Author: Daniel P. Palomar [cre, aut], Rui Zhou [aut]
Maintainer: Daniel P. Palomar <daniel.p.palomar at gmail.com>
BugReports: https://github.com/dppalomar/portfolioBacktest/issues
License: GPL-3 | file LICENSE
URL: https://CRAN.R-project.org/package=portfolioBacktest, https://github.com/dppalomar/portfolioBacktest
NeedsCompilation: no
Citation: portfolioBacktest citation info
Materials: README NEWS
CRAN checks: portfolioBacktest results

Downloads:

Reference manual: portfolioBacktest.pdf
Vignettes: Portfolio Backtesting
Package source: portfolioBacktest_0.2.0.tar.gz
Windows binaries: r-devel: portfolioBacktest_0.2.0.zip, r-release: portfolioBacktest_0.2.0.zip, r-oldrel: portfolioBacktest_0.2.0.zip
OS X binaries: r-release: portfolioBacktest_0.2.0.tgz, r-oldrel: portfolioBacktest_0.2.0.tgz
Old sources: portfolioBacktest archive

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