{"repo":"dppalomar/portfolioBacktest","free":true,"listed":false,"github":"https://github.com/dppalomar/portfolioBacktest","clone":"git clone https://github.com/dppalomar/portfolioBacktest.git","description":"Automated Backtesting of Portfolios over Multiple Datasets","language":"HTML","stars":74,"topics":["portfolio","backtesting","financial-markets"],"license":"GPL-3.0","category":"trading","readme_excerpt":"portfolioBacktest 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. Installation The package can be installed from CRAN or GitHub: To get help: To cite portfolioBacktest in publications: Quick Start Do the backtest on your own portfolio following few steps: - Step 1 - load package & 10 datasets - Step 2 - define your own portfolio - Step 3 - do backtest - Step 4 - check your portfolio performance (e.g., median of the 10 individual backtests) For a more detailed explanation on how to use ","default_branch":null,"files":null,"tree":[],"storefront":"/r/dppalomar","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/dppalomar/portfolioBacktest/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}