optport

The goal of optport is to provide portfolio optimization functions for discrete and continuous time models of price dynamics. Additionally functions for basic backtests are available.

Installation

You can install the latest dev version of optport from github with:

devtools::install_github("shill1729/optport")

Example

A crypto backtest and allocation:

library(ravapi)
library(optport)
period <- "intraday"
interval <- "60min"
h <- timescale(period, interval, TRUE)
crypto <- getAssets(c("BTC", "ETH", "ETC", "LTC", "DOGE"), period,
                    interval)
print(tail(crypto))
w0 <- 1000
p <- 0.1
lambda <- 0.1
# par(mfrow=c(1,1))
ctbt_online(crypto, w0, p, lambda, h)
w <- kelly_gbm(trader::stockReturns(crypto), lambda, h=h)
print(w)

A stock backtest and allocation:

library(ravapi)
library(optport)
tickers <- c("SPY", "QQQ", "VXX", "CGC", "NTDOY", "SNE", "GE",
             "KO")
period <- "daily"
interval <- NULL
stock <- getAssets(tickers, period, interval)
h1 <- timescale(period, interval, FALSE)
w0 <- 1000
p <- 0.1
lambda <- 0.5
par(mfrow=c(2,2))
dtbt_offline(stock, w0, p, lambda)
dtbt_online(stock, w0, p, lambda)
ctbt_online(stock[,-1], w0, p, lambda, h1)
ctbt_online(stock[,-1], w0, p, 0.01, h1)