[R-SIG-Finance] [R-sig-finance] rmetrics portfolio backtesting limitations question
nodecorum at yahoo.com
Fri Jul 10 16:16:15 CEST 2009
I found the problem with the truncation of the asset list -- R only allows
500 characters in a formula.
My next step is to copy, rename and modify the original portfolioBacktest
function to add another parameter, a vector of strings which are the asset
names. Can I just execute the code for the new function in the GUI and
thereby make it available to my script?
If I can figure out how to do that, perhaps I can fix the windowing function
to allow shorter window sizes and no smoothing of weights (our strategies
are very short term so rebalancing smoothness is not an issue).
> I have been working with the portfolioBacktesting function in Rmetrics and
> it seems to be a very powerful and useful function. There seems to be
> some limitations/bugs that seriously limits the utility of the function
> and I was hoping someone has found workarounds:
> 1.) If I specify a large number of assets, say 50, in the formula, e.g.
> SPX ~ asset1 + asset2....+asset50
> then it seems only the first 29 assets are used in the analysis.
> ncol(backtestPortfolios$weights) always returns 29 and assets near the end
> of the list get nonzero weights if I move their names to the beginning of
> the formula string, otherwise those assets do not appear in the results.
> Is there a way to NOT compare results to a benchmark? I'd like to just
> supply a timeseries of asset returns for a date range and run the analysis
> using all assets in the timeseries as portfolio candidates.
> BTW, if anyone knows an easy way to dump out the weights to a file I'd
> appreciate the insight
> 2.) the 12m window horizon seems to be the only one that works:
> setWindowsHorizon(backtestBT)<-"12m" works, but <-"3m" yields an error
> I thought this might have to do with the lambda smoothing, so I set the
> smoothing to "1m" and still no go
> 3.) does anyone know how to turn smoothing completely off? I would like
> to see the raw, unsmoothed weights
> 4.) is there anyway to plot the results without performing weight
> smoothing -- I don't want to have to do smoothing to look at all the great
> plots and results.
> Rmetrics is great stuff, so close to being beyond perfect! I am very
> grateful to the developers and the community.
> Warm regards,
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