Comments (1)
The error is in your computation:
1.014682 (0.9926917 + (1 * 0.021990454))
which should be instead
0.9926917 * (1 + 0.021990454) = 1.0145215
Basically, after the first negative return, your NAV is less than one, so you cannot use that “1” in your computation.
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Related Issues (14)
- Allow download data from a local database HOT 1
- Pass the current portfolio w to the function HOT 1
- Allow for different rebalancing schedules
- Allow each portfolio to have different rebalancing parameters
- Provide more performance measures HOT 1
- Include transaction costs HOT 1
- Allow different data frequencies apart from daily HOT 1
- Backtest strategy with only one asset and positions HOT 2
- Object Structure HOT 1
- The reoptimization period has to be a multiple of the rebalancing period. HOT 1
- Error in plotPerformanceVsParams(bt) : No portfolio found in backtest! HOT 1
- Saving state inside portfolio functions HOT 1
- Unable to see if the annual return using daily/weekly or monthly return
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