Optimization and Walk-Forward with PortfolioTesteR

knitr::opts_chunk$set(collapse=TRUE, comment="#>", fig.width=7, fig.height=5, dpi=96, cache=FALSE, message=FALSE, warning=FALSE)
set.seed(1)
heavy <- identical(Sys.getenv("NOT_CRAN"), "true")

library(PortfolioTesteR)
data(sample_prices_weekly)

# ---- Grid optimization ----
builder_opt <- function(prices, params, ...) {
  sel <- filter_top_n(calc_momentum(prices, params$lookback), params$n_top)
  weight_equally(sel)
}

grid_opt <- if (heavy) {
  list(lookback = seq(6, 26, by = 2), n_top = c(5, 10, 15))
} else {
  list(lookback = c(8, 12, 26), n_top = c(5, 10))
}

opt <- run_param_grid(
  prices  = sample_prices_weekly,
  grid    = grid_opt,
  builder = builder_opt,
  metric  = NULL,                  # defaults to metric_sharpe()
  name_prefix = "MOM",
  verbose = FALSE,
  light_mode = TRUE,
  precompute_returns = TRUE
)

plot(opt, type = "line", params = "lookback")

# ---- Walk-forward ----
builder_wf <- function(prices, params, ...) {
  weight_equally(filter_top_n(calc_momentum(prices, params$lookback), params$n_top))
}

grid_wf <- if (heavy) {
  list(lookback = c(8, 12, 26, 40), n_top = c(5, 10, 15))
} else {
  list(lookback = c(8, 12), n_top = c(5, 10))
}

wf <- run_walk_forward(
  prices      = sample_prices_weekly,
  grid        = grid_wf,
  builder     = builder_wf,
  metric      = NULL,              # defaults to metric_sharpe()
  is_periods  = 52,
  oos_periods = 26,
  step        = 26,
  verbose     = FALSE,
  light_mode  = TRUE,
  precompute_all = TRUE,
  builder_args = list()
)

plot(wf, type = "parameters")

plot(wf, type = "is_oos", metric = "OOS_Score")

plot(wf, type = "equity")

sessionInfo()