backtest

Jun 29, 2023

Changes in this version

+ const DailyRebalancedReturnsColumn

+ const PortfolioReturnsColumn

Jan 16, 2023

Changes in this version

+ type PolicyWeightCalculator interface

+ PolicyWeights func(ctx context.Context, today time.Time, assets returns.Table, ...) ([]float64, error)

Jan 16, 2023

Changes in this version

+ func DailyRebalancedWithStaticWeights(assets returns.Table, weights []float64) (returns.List, error)

+ type ErrorNotEnoughData struct

+ func (err ErrorNotEnoughData) Error() string

+ type PolicyWeightsFunc func(ctx context.Context, t time.Time, assetReturns returns.Table, ...) (targetWeights []float64, err error)

+ type Result struct

+ FinalPolicyWeights []float64

+ PolicyUpdateTimes []time.Time

+ RebalanceTimes []time.Time

+ ReturnsTable returns.Table

+ Weights [][]float64

+ func Run(ctx context.Context, end, start time.Time, assetReturns returns.Table, ...) (Result, error)

+ func (result Result) DailyRebalancedReturns() returns.List

+ func (result Result) Returns() returns.List

+ type TriggerFunc func(t time.Time, currentWeights []float64) bool

+ type WeightSnapshot struct

+ IsPolicyUpdateDay bool

+ IsRebalanceDay bool

+ Time time.Time

+ Weights []float64

+ type WeightSnapshotList []WeightSnapshot

+ func (list WeightSnapshotList) AverageWeightForIndex(index int) (float64, error)

+ func (list WeightSnapshotList) Times() []time.Time

+ type WindowFunc func(today time.Time, table returns.Table) returns.Table