How to deal with asset data having zeros in part when backtesting with 'runBacktest'?
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When backtesting with the functions 'backtestStrategy', 'backtestEngine', and 'runBacktest', I have an issue with an asset data including zeros.
The following code is an example, which equally weights 4 stocks with rebalancing the portfolio every 20 days. The following code works as expeted.
%% create a pseudo stock price table.
d = datetime('2020-01-01'):caldays(1):datetime('2020-12-31'); % create a date array
price = rand(numel(d), 4); % create a pseudo stock prices
% price(:,4) = 0;
priceTT = array2timetable(price, 'RowTimes', d', ...
'VariableNames', {'Stock_A', 'Stock_B', 'Stock_C', 'Stock_d'});
%% create a backtesting strategy which equally weights all stocks and rebalances every 20 days
nAsset = size(priceTT, 2);
initial_weights = ones(1,nAsset) / nAsset;
equalWeightFn = @(~, ~) initial_weights;
strategy = backtestStrategy('EqualWeighting', equalWeightFn, ...
'InitialWeights', initial_weights, ...
'TransactionCosts', 0 , ...
'RebalanceFrequency', 20);
%% create a backtest engine and run backtest.
backtester = backtestEngine(strategy);
bt = runBacktest(backtester, priceTT);
%% summry the backtest result.
summary(bt)
However, when the prices of 'Stock_d' is replaced with zeros (please uncomment the third line in the example, "prices(:,4) = 0"), all the backtesting results becomes as below.
EqualWeighting
______________
TotalReturn NaN
SharpeRatio NaN
Volatility NaN
AverageTurnover NaN
MaxTurnover 0
AverageReturn NaN
MaxDrawdown NaN
AverageBuyCost 0
AverageSellCost 0
Please advise me whey an asset data including a stocks with zeros does not work.
Thank you for any comment in advance.
3 个评论
Brendan
2021-8-16
Peter is correct. In the latest version of the financial toolbox you will get a more helpful error message if you attempt to invest in an asset that has an invalid return (for example and Inf for NaN return).
backtest strategy rebalance functions should take care to avoid investing in assets that encounter invalid return data.
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