May

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Backtest, from Alex Park

May 4, 2007 |

Backtest , a new R package I've been exploring:

The backtest package provides facilities for exploring portfolio-based conjectures about financial instruments (stocks, bonds, swaps, options, et cetera). For example, consider a claim that stocks for which analysts are raising their earnings estimates perform better than stocks for which analysts are lowering estimates. We want to examine if, on average, stocks with raised estimates have higher future returns than stocks with lowered estimates and whether this is true over various time horizons and across different categories of stocks. Colloquially, "backtest" is the term used in finance for such tests.


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