Automated Backtesting of Portfolios over Multiple Datasets
Selector of portfolio backtest results
Summary of portfolio backtest
Table with portfolio backtest results
Generate random resamples from financial data
Generate multiple versions of a function with randomly chosen paramete...
List portfolios with failures
Plot performance of portfolio function vs choice of parameters
portfolioBacktest: Automated Backtesting of Portfolios over Multiple D...
Backtest multiple portfolios over multiple datasets of stock prices in...
Add a new performance measure to backtests
Create boxplot from backtest results
Chart of the cumulative returns or wealth for a single backtest
Chart of the drawdown for a single backtest
Chart of the rolling Sharpe ratio over time for a single backtest
Chart of the weight allocation over time for a portfolio over a single...
Leaderboard of portfolios from the backtest results
Download stock data from the Internet
Generate random resamples from financial data
Create barplot from backtest summary
Create table from backtest summary
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.
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