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Changes in portfolioBacktest version 0.3.0 (2021-09-21)

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@dppalomar dppalomar released this 22 Sep 01:29
· 31 commits to master since this release
v0.3.0
95d503a

  • In the computation of Sharpe ratio and annualized return, uncompounded returns are used (before they were compounded).

  • New function to add new performance measures: add_performance()

  • Function name backtestChartCumReturns() changed to backtestChartCumReturn() .

  • Now the portfolio function receives an additional argument w_current with the current portfolio. This allows for portfolio designs that take into account transaction costs and for smart rebalancing techniques.

  • Lots of internal code rewritten to make it more robust to future coding bugs. Now use of ellipsis in most places (always with named arguments).

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