[R-SIG-Finance] portfolio rebalancing

[spencerg]

Hello: 


      The error "number of items to replace is not a multiple of 
replacement length" occurs because shares[, 2] is an xts object with one 
row and one column, and you are trying to replace that single element by 
(capital/3)/prices["2009-02-02"], which is an xts object with one row 
and three columns.  Three numbers won't fit into one storage location. 


      Beyond this, my favorite tool for finding capabilities in 
contributed R packages is "RSiteSearch.function": 


library(RSiteSearch)
pr <- RSiteSearch.function('portfolio rebalancing')
nrow(pr)  # 0
pb <- RSiteSearch.function('portfolio balancing')
nrow(pb)  # 1
HTML(pb)  # data sets;  not what you want. 


      These search terms produced nothing, and trying these terms in 
RSiteSearch including the email archives failed to produce more.  I 
seemed to have better results Googling for "R-SIG-Finance portfolio 
balancing".  Of course, you would need to decide if you found anything 
relevant there. 


      Hope this helps. 
      Spencer
     

Fuchs Ira wrote:
> I'm trying (so far unsuccessfully) to figure out how I might write a 
> function (or more likely a set of functions) to backtest a few 
> rebalancing algorithms. for example, starting with some amount of 
> capital I want to equal weight purchase a set of equities and then 
> rebalance in a variety of frequencies (daily, weekly, monthly, and 
> perhaps based on % change from equal weights).  Getting the prices 
> with getSymbols is easy enough but things kind of go downhill from 
> there. I know this should be easy for anyone familiar with R but my 
> background is APL and whenever I try to do something that I think 
> should work, it doesn't.  I know this is just because I don't have 
> enough R experience but if anyone can suggest any functions  that I 
> could reuse for this purpose, that would be much appreciated.
>
> As an example of my bad R intuition:
>
> Let's say I want the prices of stock tickers MSFT, IBM, ORCL:
>
> I say
>
> getSymbols(c("MSFT","IBM","ORCL"))
>
> Now I have 3 data frames which I think would be easier to deal with as 
> one so I say
>
> prices=merge(ORCL[,6],merge(MSFT[,6],IBM[,6]))
>
> so far so good.
>
> Now I have a dataframe with 3 columns each with the adjusted prices of 
> a stock.
>
> I can calculate the number of shares for the equal weight purchase for 
> a specific date (2009-01-02] by saying:
>
> shares=(capital/3)/prices["2009-01-02"] #determine shares
>
> but now I'd like to do this calculation each day, or week, or month 
> and after each calculation determine the new total value and redo the 
> equal weighting (or for that matter a more complex weighting). 
> functions like to.weekly won;t work because the dataframe is not OHLC. 
> Are there other similar functions that will just give me the rows for 
> some set of periodic dates?
>
> Here's where my R intuition starts to break down...I try
>
> sum(shares*prices["2009-02-02"]) #calculate total share value on 
> 2009-02-02
>
> I get:
>
> [1] 0
>
> not quite what I expected..so guessing that multiplying data.frames is 
> not good form, I try:
>
> capital=sum(shares*as.numeric(prices["2009-02-02"]))
>
> which works:
>
> > capital
> [1] 945462
>
> OK, so now I have a new starting capital value and I can repeat as 
> above but with the following day's or week's or month's prices.
>
> shares=(capital/3)/prices["2009-02-02"] # gives me the number of 
> shares to own on 2009-02-02
>
> but what if I want shares (and the capital values) to be a time series 
> so I can see the share and capital amounts by date...I tried
>
> shares[,2]=(capital/3)/prices["2009-02-02"] gives:
>
> Error in NextMethod(.Generic) :
>   number of items to replace is not a multiple of replacement length
>
> No doubt this is simple to do...right?
>
> Of course, the real goal is to have a set of functions that would 
> permit easy changes to the frequencies, the threshold for rebalancing 
> and so on but maybe some kind soul could put me on the right R way to 
> think about this.
>
> Thanks.
>
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