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Getting Started with PortfolioTesteR3 months ago
PortfolioTesteR: Test Investment Strategies with English-Like Code | Installation | Load the Library | Strategy 1: Simple Momentum (Beginner) | Strategy 2: Multi-Signal Combination (Intermediate) | Strategy 3: Risk-Managed Momentum with Stop Loss (Intermediate) | Strategy 4: Regime-Adaptive Volatility (Advanced) | Strategy 5: Multi-Factor with Position Limits (Advanced) | Strategy 6: StochRSI Acceleration + Inverse-Vol Risk Parity | Optional: Live Data via Yahoo (CRAN-safe) | Key Concepts Recap | Getting Help | Citation
ML Strategies with PortfolioTesteR (Advanced Getting Started)1 years ago
Why ML in PortfolioTesteR | 1) Baseline ML (pooled): Ridge regression | 2) Ensemble: Ridge + XGBoost | 3) Sector-neutral modelling (tabular XGBoost, per-group) | 4) Sequence model (GRU, pooled): "returns pyramid" | 5) Sequence model (GRU, per-group): sector-neutral sequences | 6) Light tuning: Top-K and softmax temperature | Recap & Next Steps
Optimization and Walk-Forward with PortfolioTesteR1 years ago