Backtesting Simple Asset Allocation Strategies
Backtesting of asset allocation strategies
Returns constant weights for static asset allocations
Calculation of account value for backtesting asset allocation strategi...
Downloads prices in xts format from a list of tickers from Yahoo Finan...
Portfolio rebalancing dates
Returns minimum variance portfolio weights on a given date
Returns risk parity weights on a given date
Returns allocations for the Adaptive Asset Allocation strategy on a gi...
Returns allocations for the dual momentum strategy on a given date
Returns allocations for the Ivy Portfolio on a given date
Calculates asset allocations for the JPMorgan ETF Efficiente® 5 portfo...
Returns allocations for the Robust Asset Allocation on a given date
Returns allocations for the Ivy Portfolio on a given date
Returns allocations for the Ivy Portfolio on a given date
Easy and quick testing of customizable asset allocation strategies. Users can rely on their own data, or have the package automatically download data from Yahoo Finance (<https://finance.yahoo.com/>). Several pre-loaded portfolios with data are available, including some which are discussed in Faber (2015, ISBN:9780988679924).
Useful links