PortfolioTesteR0.1.4 package

Align Data to Strategy Timeframe

Period-level summary statistics

Analyze Drawdown Characteristics

Analyze Backtest Performance with Daily Monitoring

Benchmark-relative performance statistics

Apply Market Regime Filter

Apply Weighting Method to Values

Convert Conditions to Selection Format

Calculate Comprehensive Backtest Metrics

Bucketed label analysis by score rank

Calculate Commodity Channel Index (CCI)

Calculate Distance from Reference

Calculate Market Breadth Percentage

Calculate Price Momentum

Calculate Moving Average

Calculate Cross-Sectional Ranking of Indicators

Rolling correlation of each symbol to a benchmark

Calculate Rolling Volatility

Calculate Relative Strength Index (RSI)

Calculate Market Breadth by Sector

Calculate Indicators Relative to Sector Average

Calculate Stochastic D Indicator

Stochastic RSI (StochRSI) for multiple price series

Calculate Annualized Return

Optimized cluster variance calculation

Daily equity curve from positions and daily prices

Calculate Drawdown Time Series

Calculate Portfolio Drawdowns

Calculate Enhanced Performance Metrics

Calculate Equal Risk Contribution weights (simplified)

Calculate HRP weights for a given returns matrix

Calculate Maximum Diversification Portfolio weights

Apply post-weight exposure caps

Cap turnover sequentially across dates

Carry-forward weights between rebalances (validation helper)

Combine Multiple Filter Conditions

Combine multiple score panels (mean / weighted / rank-average / trimme...

Combine Multiple Weighting Schemes

Convert Data to N-Week Frequency

Count finite entries per date

Convert Continuous Indicator to Discrete Regimes

Load Price Data from CSV File

Purged/embargoed K-fold CV for sequence models (inside IS window)

Demo sector (group) map for examples/tests

Create Window Splits for Walk-Forward

Download S&P 500 Sector Mappings from Wikipedia

Ensure Data.Table Without Mutation

Evaluate scores vs labels (IC and hit-rate)

Filter Stocks Above Threshold

Filter Stocks Below Threshold

Filter Stocks Between Two Values

Filter by Percentile

Select Top or Bottom N Stocks by Signal

Filter by Threshold Value

Select Top N from Qualified Stocks

Select Top N Stocks by Signal Value

Detect Data Frequency from Dates

Information Coefficient time series

Invert Signal Values for Preference Reversal

Join multiple panels on intersecting dates (unique symbol names)

Limit per-date selections to top-K (legacy API)

List available example scripts

Load Mixed Symbols Including VIX

Make future-return labels aligned to the decision date

Adapter for User-Provided Data

Membership stability across dates

Calculate Sharpe Ratio with Frequency Detection

Add interaction panels to a feature list

Run multi-horizon ML backtests (pooled or sector-neutral)

One-call backtest wrapper (sequence features)

One-call backtest wrapper (tabular features)

Rank-IC series computed on score (rebalance) dates

NA-tolerant ensemble blender (row-wise)

Model factory for tabular cross-sectional learners

Deterministic sequence model factory (GRU/LSTM/CNN1D with linear fallb...

Panel-safe binary operation on aligned wide panels

Reduce multiple panels with a binary operator

Rolling rank-IC plot (rebalance dates; leakage-safe)

Prepare tabular features (weekly + aligned daily volatility)

Lag each symbol column by k steps

Panel simple returns from prices

Portfolio performance metrics

Plot Backtest Results

Plot Parameter Grid Results (1D/2D/3D and Facets)

Plot Performance Analysis Results

Plot Walk-Forward Results

Portfolio returns from weights and prices (CASH-aware)

PortfolioTesteR: Test Investment Strategies with English-Like Code

Print Backtest Results

Print a param_grid_result

Print Performance Analysis Results

Print a wf_optimization_result

Collect diagnostics from two ml_backtest_multi() runs

Rank Indicators Within Each Sector

Rebalance calendar (rows with non-zero allocation)

Optimized recursive bisection for HRP

Rolling fit/predict for sequence models (flattened steps-by-p features...

Rolling fit/predict for tabular features (pooled / per-symbol / per-gr...

Rolling IC mean, standard deviation, and ICIR

Run Portfolio Backtest

Run an Example Script

Run Parameter Grid Optimization (safe + ergonomic)

Walk-Forward Optimization Analysis

Safe ANY Operation with NA Handling

Safe Division with NA and Zero Handling

Mask score tables to out-of-sample decision dates

Select top-k symbols per group by score

Select top-K scores per date

Load Adjusted Price Data from SQL Database

Load Price Data from SQL Database

Standardize Data to Library Format

Summary method for backtest results

Switch Between Weighting Schemes

Per-date score transform (z-score or rank)

Quick grid tuning for tabular pipeline

Turnover by date

Update VIX data in database

Validate Data Format for Library Functions

Validate a symbol-to-group mapping

Quick leakage guard: date alignment & NA expectations

Validate Performance Analysis Inputs

Volatility targeting (row-wise) with optional down-only cap

Hierarchical Risk Parity Weighting

Rank-Based Portfolio Weighting

Regime-Based Adaptive Weighting

Risk Parity Weighting Suite

Signal-Based Portfolio Weighting

Volatility-Based Portfolio Weighting

Equal Weight Portfolio Construction

Map scores to portfolio weights

Generate Walk-Forward Report

Stitch Out-of-Sample Results (overlap-safe)

Walk-forward sweep of tabular configs (window-wise distribution of met...

Download Price Data from Yahoo Finance