[R-SIG-Finance] R-project can help me ? Building a portfolio..

[Yohan Chalabi]

>>>> "LL" == Linuxpower Ludo <linuxpower at hotmail.fr>
>>>> on Wed, 28 May 2008 19:06:14 +0200


   LL> Hi all,I am beginner and i need advices :)I expose you my
   LL> problematic.I want use R-project software for my selection
   LL> and weight of my systems.That is to say that I have several
   LL> systems trading on the Forex with UT and various symbols. My
   LL> pool of system is about >> 60 << systems available.My goal in
   LL> r-project is to build over these 60 systems, a Long & short
   LL> portfolio of 30 systems "only" and refresh or reoptimize
   LL> weekly or monthly period.I do not really know how to go
   LL> about it to find the 30 best systems for my portfolio.I
   LL> intend to recover the daily return as a percentage of each
   LL> system and store the result in a mysql database. (That works
   LL> correctly)The problem that I am a little lost now..At  the
   LL> moment i read a lot of stuff on the subject .. Efficient
   LL> frontier, MV portfolio etc etc but for putting into practice
   LL> is another thing :(
   LL> Can you help me to put into practice with examples of script
   LL> that you can use in selecting your portfolio ?
   LL> I think used fportfolio package. This package can do that?
   LL> 
   LL> Best Regads.


You can find many examples in fPortfolio package in its directory
unitTests.

regards,
Yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch
www.rmetrics.org

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