Created
August 28, 2024 20:35
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| # Create the VAR-based equally-weighted portfolio returns | |
| df_forecasts$var_stra_returns <- rowMeans((df_forecasts[,match(tickers,colnames(df_forecasts))] * | |
| df_forecasts[,match(ticker_var_forecasts,colnames(df_forecasts))]), | |
| na.rm=TRUE) | |
| # Set the NaN values of the strategy returns to zero | |
| df_forecasts$var_stra_returns[is.na(df_forecasts$var_stra_returns)] = 0.0 | |
| # Create the strategy cumulative returns | |
| df_forecasts$var_stra_cum_returns <- exp(cumsum(df_forecasts$var_stra_returns)) | |
| # Create the TVP-VAR-SV-based equally-weighted portfolio returns | |
| df_forecasts$tvp_var_sv_stra_returns <- rowMeans((df_forecasts[,match(tickers,colnames(df_forecasts))] * | |
| df_forecasts[,match(ticker_tvp_var_forecasts,colnames(df_forecasts))]), | |
| na.rm=TRUE) | |
| # Set the NaN values of the TVP-VAR-SV strategy returns to zero | |
| df_forecasts$tvp_var_sv_stra_returns[is.na(df_forecasts$tvp_var_sv_stra_returns)] = 0.0 | |
| # Create the TVP-VAR-SV strategy cumulative returns | |
| df_forecasts$tvp_var_sv_stra_cum_returns <- exp(cumsum(df_forecasts$tvp_var_sv_stra_returns)) | |
| # Create the equally-weighted benchmark portfolio returns | |
| df_forecasts$bnh_returns <- rowMeans(df_forecasts[,match(tickers,colnames(df_forecasts))]) | |
| # Create the equally-weighted benchmark portfolio cumulative returns | |
| df_forecasts$bnh_cum_returns <- exp(cumsum(df_forecasts$bnh_returns)) | |
| # Convert the date column in date type | |
| df_forecasts$date <- as.Date(df_forecasts$date) | |
| # Create a 15-day moving average long signal | |
| df_forecasts$ma_signal <- ifelse(df_forecasts$bnh_cum_returns>rollapply(df_forecasts$bnh_cum_returns,15,mean,fill=1,align='right'),1,0) | |
| # Buy the assets only when the VAR predict a positive return and the 200-day moving average signal is long too | |
| df_forecasts$stra_improved_returns <- c(0,df_forecasts$ma_signal[-length(df_forecasts$ma_signal)]*df_forecasts$tvp_var_sv_stra_returns[-1]) | |
| # Compute the improved strategy returns | |
| df_forecasts$stra_improved_cum_returns <- exp(cumsum(df_forecasts$stra_improved_returns)) |
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