belows are example of riskParityPortfolio and portfolioBacktest library
the result of sample is empty. anyone know why?
I'm suspicious about data type of input list 'list(faang_data)'. but fail to find out
library(portfolioBacktest)
library(riskParityPortfolio)
# download price data
faang_data <- stockDataDownload(c("GOOG", "NFLX", "AAPL", "AMZN", "FB"),
from = "2014-01-01", to = "2019-06-25")
# define portfolios to be backtested
# risk parity portfolio
risk_parity <- function(dataset) {
prices <- dataset$adjusted
log_returns <- diff(log(prices))[-1]
return(riskParityPortfolio(cov(log_returns))$w)
}
bt <- portfolioBacktest(list("risk parity portfolio" = risk_parity),
list(faang_data),
lookback= 12*20,
optimize_every = 3*20, rebalance_every = 3*20)
# check performance summary
backtestSummary(bt)$performance
#> risk parity portfolio tangency portfolio
#> Sharpe ratio 1.3800144 0.8787596
#> max drawdown 0.3062046 0.3516856
#> annual return 0.3117200 0.2324203
#> annual volatility 0.2258817 0.2644868
#> Sterling ratio 1.0180122 0.6608751
#> Omega ratio 1.2710283 1.1793760
#> ROT (bps) 8310.1199557 793.0188434
Looking at the example of the documentation https://rdrr.io/cran/portfolioBacktest/man/portfolioBacktest.html, you need to specify the ... as part of the parameter in your risk_parity function, to allow that function to take in additional arguments to be used internally by portfolioBacktest function.
risk_parity <- function(dataset,...) {
prices <- dataset$adjusted
log_returns <- diff(log(prices))[-1]
return(riskParityPortfolio(cov(log_returns))$w)
}