[Returnanalytics-commits] r2674 - pkg/PortfolioAnalytics/sandbox

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2013-07-29 23:42:03 +0200 (Mon, 29 Jul 2013)
New Revision: 2674

Added:
   pkg/PortfolioAnalytics/sandbox/testing_maxret_ROI.R
Log:
Adding test script for maximizing return using optimize_method=ROI. Demonstrates specifying constraints and objectives as part of the portfolio object and separately then running optimize.portfolio and optimize.portfolio.rebalancing for out of sample backtest.

Added: pkg/PortfolioAnalytics/sandbox/testing_maxret_ROI.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/testing_maxret_ROI.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/testing_maxret_ROI.R	2013-07-29 21:42:03 UTC (rev 2674)
@@ -0,0 +1,56 @@
+library(PortfolioAnalytics)
+library(foreach)
+library(iterators)
+library(quadprog)
+library(Rglpk)
+library(ROI)
+require(ROI.plugin.glpk)
+require(ROI.plugin.quadprog)
+
+
+data(edhec)
+ret <- edhec[, 1:4]
+funds <- colnames(ret)
+
+##### Method 1 #####
+# Set up portfolio object with constraints and objectives to maximize return
+# using the portfolio object to add constraints and objectives
+pspec1 <- portfolio.spec(assets=funds)
+pspec1 <- add.constraint(portfolio=pspec1, type="full_investment")
+pspec1 <- add.constraint(portfolio=pspec1, type="box", min=0, max=0.65)
+pspec1 <- add.objective(portfolio=pspec1, type="return", name="mean")
+
+opt1 <- optimize.portfolio(R=ret, portfolio=pspec1, optimize_method="ROI")
+
+##### Method 2 #####
+# Set up portfolio object with constraints and objective to maximize return
+# using separate constraint and objective objects
+pspec2 <- portfolio.spec(assets=funds)
+weight_constr <- weight_sum_constraint(min_sum=1, max_sum=1)
+box_constr <- box_constraint(assets=pspec2$assets, min=0, max=0.65)
+ret_obj <- return_objective(name="mean")
+cset <- list(weight_constr, box_constr)
+obj <- list(ret_obj)
+
+opt2 <- optimize.portfolio(R=ret, portfolio=pspec2, constraints=cset, 
+                           objectives=obj, optimize_method="ROI")
+
+all.equal(extractWeights(opt1), extractWeights(opt2))
+
+##### Method 1 Backtesting #####
+opt_rebal1 <- optimize.portfolio.rebalancing(R=ret, portfolio=pspec1, 
+                                             optimize_method="ROI", 
+                                             rebalance_on="months")
+class(opt_rebal1)
+inherits(opt_rebal1, "optimize.portfolio.rebalancing")
+wts1 <- extractWeights(opt_rebal1)
+
+##### Method 2 Backtesting #####
+opt_rebal2 <- optimize.portfolio.rebalancing(R=ret, portfolio=pspec2, 
+                                             constraints=cset, 
+                                             objectives=obj,
+                                             optimize_method="ROI", 
+                                             rebalance_on="months")
+wts2 <- extractWeights(opt_rebal2)
+all.equal(wts1, wts2)
+