[R-SIG-Finance] (no subject)

[Martin Bauer]

Hi,

I was trying to code this  

http://econompicdata.blogspot.com/2011/10/emerging-market-rotation-strategy.html

in R

# EM Rotation model
library(quantmod)
library(PerformanceAnalytics)
indexes<-c("SPY","EEM","VWO")
sym=getSymbols(indexes,from="2000-09-15",to=Sys.Date())
sym1=getSymbols("BAMLEMCBPITRIV",from="2000-09-15",to=Sys.Date(),src="FRED")
EEM.m=to.monthly(Ad(EEM))
EEM.m=EEM.m[,4]
BA.m=to.monthly(BAMLEMCBPITRIV)
BA.m=(BA.m[,4])
b=na.omit(merge(EEM.m,BA.m))
EEM.m=b[,1]
BA.m=b[,2]
seem=SMA(EEM.m,10)
long=ifelse(EEM.m>seem,1,0)
short=ifelse(EEM.m<seem,1,0)
colnames(long)=c("LONG EEM")
colnames(short)=c("LONG Bonds")
retup=lag(long,k=1)*ROC(EEM.m,type="discrete",n=1)
retdown=lag(short,k=1)*ROC(BA.m,type="discrete",n=1)
ret=retup+retdown
ret=ret[1:NROW(ret)-1,]
re=merge(ret,ROC(EEM.m,type="discrete",n=1))
colnames(re)=c("TAA","EEM")
charts.PerformanceSummary(re,ylog=TRUE,main="TAA")
Return.annualized(ret)
SharpeRatio.annualized(ret)
tail(ret)
table.Drawdowns(ret, top=10)
table.DownsideRisk(ret)

but at this point > 
Return.annualized(ret)
I get the following error

Error in FUN(newX[, i], ...) : 
  'R' needs to be timeBased or xtsible, or scale must be specified.

I have no clue why .....

What is missing ?

Thanks in advance

Martin
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