backtest fcn and portfolio value
조회 수: 2(최근 30일)
Is there a way to increase the InitialPortfolioValue in fcn backtestEngine over time? For example, investor has one additional new dollar to invest every period. The investor can invest the dollar if there is a signal or wait until the next period to invest (if he waits, next period would have 2 dollars to invest - one from the last period and one from the current). The brute force solution is to run backtestEngine in a loop for each new period and update the InitialPortfolioValue value. Any other options? Seems like there should be functionality for this since its a common retirement savings problem.
Brendan Hannigan 2021년 1월 13일
Unfortunately there is not a great way to do that using the current backing framework. You could try to work around the limitation by creating a fake asset in your prices timetable that represents incoming cash, and then have that asset double in value at each rebalance time step. You could then treat the growth of the fake asset as the cash contribution, pull it out, and allocate it with the rest of your portfolio.
However, this workflow is not recommended and it would mean your summary metrics (e.g. total return, Sharpe ratio, etc) would all be incorrect.