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Read through package and understand code; read through vignette
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Miller: Add overlapping portfolio option, using "dplyr" functions
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Ziqi: Update current code to "dplyr" functions to boost speed when dealing with large data sets. Useful link: http://cran.rstudio.com/web/packages/dplyr/vignettes/introduction.html
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Later: Create test cases of big data sets using ws.data package. Function to ws.data package: install.packages("ws.data", contriburl = "http://www.kanecap.com/R", type = "source")
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Later: xts & shiny? (Improve documentations)
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Later: Do the following items on the original To-Do List
Original To-Do List: (Before 2015)
Thanks to Gabor Grothendieck for the following suggestions:
- Allow a formula interface:
backtest(ret.var ~ in.var + by.var, DF)
and maybe
backtest(ret.var ~ in.var | by.var, DF)
which would do a separate ret.var ~ in.var analysis for each level of by.var.
- Allow backtest to still give full info, not just the spread (this could be user specifiable) even if there is a by.var. For example, maybe the second formula above with a | could specify the full report.