Fix some CRAN small issue with function examples.
New function to add new performance measure: add_performance().
Vignette revised (included references on the dangers of backtesting).
Bug fixed with global variables when using paral_portfolios > 1.
Typos fixed in vignette.
Data SP500_symbols updated.
Bug fix in backtestLeaderboard() when some portfolios have 100% failure rate.
Three new plotting function: backtestChartCumReturns(), backtestChartDrawdown(), backtestChartStackedBar().
Structural improvement for embedded benchmarks. Now it is easier to add more benchmarks.
Add the global minimum variance portfolio (GMVP) with “shrinkage” option as a benchmark.
Add two more performance criteria: VaR (alpha = 0.95) and CVaR (alpha = 0.95) of loss.
Filter global variables by size: now the variables with size > 10 MB will not be transparent to parallel threads.
Revised test examples.
Now stockDataDownload() will store the downloaded data into a local file and if called again with the same arguments will use it (Issue: #2).
Function portfolioBacktest() now returns two portfolios: w_designed and w_bop.
Function portfolioBacktest() now takes an extra argument for the portfolio execution which can be “same day” or “next day”.
Transaction costs are now included in the backtest computation and function portfolioBacktest() takes an extra argument (Issue: #7).
Two new functions for easy parameter tuning and plotting: genRandomFuns() and plotPerformanceVsParams().
Package ggplot2 is now imported and all the plots are based on it by default.