[R-SIG-Finance] Quantstrat optimal portfolio & dynamic core-satellite strategy

[Brian G. Peterson]

On 11/27/2012 02:20 PM, Cristian Popescu wrote:
> Dear all,
>
> 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.

I'll try to make a longer answer sometime tomorrow, but I wanted to give 
you the short answer now.

The short answer is 'rebalance' rules.  These currently only work on one 
portfolio, but I don't think that will be a problem, as you can simply 
have different rules for 'core' and 'satellite' in the single portfolio.

See the 'faber' demo for one without rebalance rules, and 'faber_rebal' 
for the same strategy with a quarterly rebalance rule.  As with 
everything in quantstrat, it is modular, and you can write a custom 
rebalance rule that will be aware of the current state of the portfolio 
at the time the rebalance rule(s) is evaluated.

Regards,

    - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock