[R-SIG-Finance] Quantstrat optimal portfolio & dynamic core-satellite strategy
pgcristi at yahoo.com
Tue Nov 27 21:20:51 CET 2012
I am trying to create a dynamic core-satellite strategy and backtest it in R. So far, I think that the best solution to be able to "migrate" capital/equity from the core to a satellite and back is to create 1 account but have 2 different portfolios for the account, each with its specific symbols allocated to it:
core.symbols <- c('SPY', 'BWX')
satellite.symbols <-c('JNK', 'GLD')
Thus using one of the 2 above for its designated portfolio, I think would be easier to assign symbols to the specific part of the strategy.
My questions are:
1) how can i assign capital to one of the portfolios and be able to analyze and possibly change it after each day/week/month or whatever the time step will be?
2) how can i optimize my portfolio on a rolling time frame (tried to use fPortfolio but I need to change to classes back and forth from xts & zoo to timeSeries and back). Shoult i recreate an optimization function?
Looking forward to your responses, and if you have any comments regarding the possible ways to do this, do not hesitate to do so.
Thank you in advance.
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