Is there a way to increase the InitialPortfolioValue in fcn backtestEngine over time? For example, investor has one additional new dollar to invest every period. The investor can invest the dollar if there is a signal or wait until the next period to invest (if he waits, next period would have 2 dollars to invest – one from the last period and one from the current). The brute force solution is to run backtestEngine in a loop for each new period and update the InitialPortfolioValue value. Any other options? Seems like there should be functionality for this since its a common retirement savings problem.
MATLAB: Backtest fcn and portfolio value
backtestfinanceportfolioretirementsavingstrading
Related Question
- How to set BoundType Conditional to PortfolioCVar Object
- Formula for calculating marginal risk contributions (video MATLAB for Advanced Portfolio Construction and Stock Selection Models)
- Backtesting simple moving average trading strategy
- Efficient portfolios constraints, how can I add a particular constraint
Best Answer