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\name{backtest-specification}
\alias{portfolioBacktest}
\title{Specification of portfolio backtesting}
\description{
Specifies how the portfolio backtesting is performed.
}
\usage{
portfolioBacktest(
windows = list(
windows = "equidistWindows",
params = list(horizon = "12m")),
strategy = list(
strategy = "tangencyStrategy",
params = list()),
smoother = list(
smoother = "emaSmoother",
params = list(doubleSmoothing = TRUE,
lambda = "3m", skip = 0,
initialWeights = NULL)),
messages = list())
}
\arguments{
\item{windows}{
a list, containing different arguments: windows, params
(horizon).
}
\item{strategy}{
a list, containing different arguments: strategy, params.
}
\item{smoother}{
a list, containing different arguments: smoother, params.
(doubleSmoothing, lambda, skip, initialWeights).
}
\item{messages}{
a list containing the backtesting messages.
}
}
\value{
returns an S4 object of class \code{"fPFOLIOBACKTEST"}.
}
\references{
W\"urtz, D., Chalabi, Y., Chen W., Ellis A. (2009);
\emph{Portfolio Optimization with R/Rmetrics},
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
}
\keyword{models}
|
