select

Select value-at-risk (VaR) or expected shortfall (ES) data from backtest objects

Since R2023b

Syntax

subbtobj = select(btobj,Name=Value)

Description

subbtobj = select(btobj,Name=Value) returns a selection of backtesting data, where btobj is either an esbacktest (since R2024a) or a varbacktest object. For example, subbtobj = select(btobj,TimeRange=timeRange) selects ES or VaR data for a specified time range.

Examples

Select VaR Backtesting Data

Use the select function and specify the optional arguments TimeRange and NewPortfolioID to create a varbacktest subobject containing data for Q1 of year 2000. Reset the portfolio ID to reflect your selection.

load VaRBacktestData
btobj = varbacktest(EquityIndex,Normal95,'Time',Date);
timeRange = [datetime(2000,1,1),datetime(2000,3,31)];
subbtobj = select(btobj,TimeRange=timeRange,NewPortfolioID="Equity, Q1 2000")

subbtobj = 
  varbacktest with properties:

    PortfolioData: [65×1 double]
          VaRData: [65×1 double]
             Time: [65×1 datetime]
      PortfolioID: "Equity, Q1 2000"
            VaRID: "VaR"
         VaRLevel: 0.9500

Select ES Backtesting Data

Use the select function and specify the optional arguments TimeRange and NewPortfolioID to create an esbacktest subobject containing data for Q1 of year 2000. Reset the portfolio ID to reflect your selection.

load ESBacktestData
btobj = esbacktest(Returns,VaRModel1,ESModel1,'Time',Dates);
timeRange = [datetime(2000,1,1), datetime(2000,3,31)];
subbtobj = select(btobj,TimeRange=timeRange,NewPortfolioID='S&P, Q1 2000')

subbtobj = 
  esbacktest with properties:

    PortfolioData: [65×1 double]
          VaRData: [65×1 double]
           ESData: [65×1 double]
             Time: [65×1 datetime]
      PortfolioID: "S&P, Q1 2000"
            VaRID: "VaR"
         VaRLevel: 0.9500

Input Arguments

btobj — Backtest object

varbacktest object | esbacktest object

Backtest object, specified as either a varbacktest or an esbacktest object.

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: subbtobj = select(btobj,TimeRange=[1,100])

TimeRange — Time range

row vector | datetime row vector | duration row vector | logical row vector

Time range for the backtesting data you would like to select from a varbacktest or esbacktest object, specified as either of the following:

• Numeric row vector, datetime row vector, or duration row vector with the data type matching the data type of the Time property vector in the backtest object

• Logical row vector with the size matching the size of the Time property vector in the backtest object

The output for the object contains data points corresponding to either the time window TimeRange(1) through TimeRange(2) or to the time points specified by a logical row vector. If you do not specify TimeRange, the select function includes all time points in the output window.

Example: subbtobj = select(btobj,TimeRange=[1,100])

Example: subbtobj = select(btobj,TimeRange=[datetime(2000,1,1),datetime(2000,3,31)])

Data Types: double | datetime | duration | logical

VaRID — VaR IDs

string vector

VaR IDs from the input varbacktest or esbacktest object, specified as a string vector. The output backtest object contains the selected VaR data. If you do not specify VaRID, the select function returns data for all VaR IDs.

Example: subbtobj = select(btobj,VaRID=["Historical95","Historical99"])

Data Types: string

NewPortfolioID — New portfolio ID

string scalar

New portfolio ID contained the output backtest object, specified as a string scalar. If you do not specify NewPortfolioID, select function uses the portfolio ID of the input varbacktest or esbacktest object.

Example: subbtobj = select(btobj,TimeRange=timeRange,NewPortfolioID="Equity Q1 2000")

Data Types: string

Version History

Introduced in R2023b

R2024a: Select ES backtest data in ES backtest objects

Return a selection of ES backtest data from ES backtest objects.