How to deal with asset data having zeros in part when backtesting with 'runBacktest'?

조회 수: 1(최근 30일)
Doheon Lee
Doheon Lee 2021년 7월 19일
댓글: Doheon Lee 2021년 8월 27일
When backtesting with the functions 'backtestStrategy', 'backtestEngine', and 'runBacktest', I have an issue with an asset data including zeros.
The following code is an example, which equally weights 4 stocks with rebalancing the portfolio every 20 days. The following code works as expeted.
%% create a pseudo stock price table.
d = datetime('2020-01-01'):caldays(1):datetime('2020-12-31'); % create a date array
price = rand(numel(d), 4); % create a pseudo stock prices
% price(:,4) = 0;
priceTT = array2timetable(price, 'RowTimes', d', ...
'VariableNames', {'Stock_A', 'Stock_B', 'Stock_C', 'Stock_d'});
%% create a backtesting strategy which equally weights all stocks and rebalances every 20 days
nAsset = size(priceTT, 2);
initial_weights = ones(1,nAsset) / nAsset;
equalWeightFn = @(~, ~) initial_weights;
strategy = backtestStrategy('EqualWeighting', equalWeightFn, ...
'InitialWeights', initial_weights, ...
'TransactionCosts', 0 , ...
'RebalanceFrequency', 20);
%% create a backtest engine and run backtest.
backtester = backtestEngine(strategy);
bt = runBacktest(backtester, priceTT);
%% summry the backtest result.
However, when the prices of 'Stock_d' is replaced with zeros (please uncomment the third line in the example, "prices(:,4) = 0"), all the backtesting results becomes as below.
TotalReturn NaN
SharpeRatio NaN
Volatility NaN
AverageTurnover NaN
MaxTurnover 0
AverageReturn NaN
MaxDrawdown NaN
AverageBuyCost 0
AverageSellCost 0
Please advise me whey an asset data including a stocks with zeros does not work.
Thank you for any comment in advance.
  댓글 수: 3
Doheon Lee
Doheon Lee 2021년 8월 27일
Thank you, Peter and Brenda,
My MATLAB is 2021a, and I still have thie problem. Instead of zeoring for NaN values in a table containing historica stock prices, I replaced NaN with 1e-10, which is close to zero and it works fine. That is, replacing the third line with the following,
price(:,4) = ie-10;
Thank you for the comments. :)

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