R Observatory: Metrics for portfolioBacktest version 0.4.2

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

portfolioBacktest

0.4.2

Automated Backtesting of Portfolios over Multiple Datasets

1packages depend

10.8Kdownloads / year

51.1%test coverage

13/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2019-06-1910 releasesCRAN page ↗GitHub ↗

Automated backtesting of multiple portfolios over multiple datasets of stock prices in a rolling-window fashion. Intended for researchers and practitioners to backtest a set of different portfolios, as well as by a course instructor to assess the students in their portfolio design in a fully automated and convenient manner, with results conveniently formatted in tables and plots. Each portfolio design is easily defined as a function that takes as input a window of the stock prices and outputs the portfolio weights. Multiple portfolios can be easily specified as a list of functions or as files in a folder. Multiple datasets can be conveniently extracted randomly from different markets, different time periods, and different subsets of the stock universe. The results can be later assessed and ranked with tables based on a number of performance criteria (e.g., expected return, volatility, Sharpe ratio, drawdown, turnover rate, return on investment, computational time, etc.), as well as plotted in a number of ways with nice barplots and boxplots. See Chapter 8 (Portfolio Backtesting) of the book: Daniel P. Palomar, "Portfolio Optimization: Theory and Application", Cambridge University Press, 2025.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("portfolioBacktest", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("dppalomar/portfolioBacktest")

Development version from dppalomar/portfolioBacktest. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-portfoliobacktest

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-portfolioBacktest

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-portfolioBacktest

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 4.7 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.20

51.1%

Coverage · measured lines

100%

Documentation · exports

14

Dependencies · direct

Check history

OK2026-08-05
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-06-08
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
WARNING2026-06-07
12 OK · 0 NOTE · 1 WARNING · 0 ERROR · 0 FAILURE
OK2026-05-24
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Show 2 earlier snapshots

ERROR2026-04-12
13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 317 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 6%
Documented parameters: 98%
Return-value docs: 42%
References docs: 0%

Downloads

10.8K

CRAN downloads in the past year

Rank #4,301 · ~30/day · ~903/mo

Releases R versions

Daily download trend is not available in this view yet.

30030 days

1.9K90 days

10.8K1 year

Compare downloads with other packages →

Also on161 r2u15 autocran

Repository

GitHub ↗ dppalomar/portfoliobacktest

74Stars

16Forks

4Open issues

1Open PRs

9Releases

479Commits

4Contributors

portfoliobacktestingfinancial-markets

License GPL-3.0 · 479 commits · Last activity 2026-05-18 · +1.4% stars, 30d

Stars over time

2025-08-14 · 642026-07-30 · 74

Repository practices

Upstream repositoryBeta

5 development-tooling and community-health practices detected across 5 families in the upstream repository

Checks run against github.com/dppalomar/portfoliobacktest on 2026-08-09.

Continuous integration (1)

GitHub Actions

Reproducibility and dev environment (1)

data-raw/

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Show all practices

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

23 external dependencies (excludes base and recommended)

Depends (1)

R >= 2.10

Imports (14)

digest evaluate ggplot2 pbapply PerformanceAnalyticsparallelquadprog quantmod R.utils rlangstatsutilsxts zoo

LinkingTo (0)

none

Suggests (12)

CVXR DT ggfortify gridExtra knitr prettydoc readtext rmarkdown R.rsp scales stringi testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

riskParityPortfolio

Code & Tests

Datasets

People & History

People (2)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (2)

Daniel P. Palomar

Maintainer, Author

Rui Zhou

Author

Listed in earlier versions (1)

Daniel P.

no longer listed · 0.1.0 to 0.4.2

Package Timeline

10 releases. Pick two to compare their code metrics. R releases are shown for context.

0.4.2Latest
2026-05-19 · current release · diff ↗
unarchivedReturned to CRAN
2026-05-18
archivedRemoved from CRAN
2026-05-18
issues were not corrected despite reminders
R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
0.4.1
2022-04-22 · diff ↗
R
R 4.2.0 released · 2022-04-22
0.3.1
2021-10-17 · diff ↗
0.3.0
2021-09-21 · diff ↗
R
R 4.1.0 released · 2021-05-18
0.2.3
2021-01-12 · diff ↗
0.2.2
2020-08-03 · diff ↗
unarchivedReturned to CRAN
2020-08-03
archivedRemoved from CRAN
2020-08-03
check problems were not corrected in time

Show 6 earlier events

R
R 4.0.0 released · 2020-04-24
0.2.1
2019-10-07 · diff ↗
0.2.0
2019-08-23 · diff ↗
0.1.1
2019-07-06 · diff ↗
0.1.0
2019-06-19
R
R 3.6.0 released · 2019-04-26

Package metadata

First published: 2019-06-19
Total releases: 10 / 7 yrs
License: GPL-3 OSI
Minimum R: ≥ 2.10
Bundled data: 745 KB / 2 files
Download size: 1.6 MB for 0.4.1
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("portfolioBacktest")

Format

Palomar, D. P., & Zhou, R. (2026). portfolioBacktest: Automated Backtesting of Portfolios over Multiple Datasets (Version 0.4.2) [Computer software]. https://doi.org/10.32614/CRAN.package.portfolioBacktest

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for portfolioBacktest version 0.4.2 [Data set]. HJJB, LLC. Data release v2026-08-15. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-15, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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