[R-SIG-Finance] Questions regarding Cashflows in Blotter and hacking Quantstrat

Ilya Kipnis ilya.kipnis at gmail.com
Thu Apr 2 03:50:34 CEST 2015


Why don't you just append the indicator to the instruments before you
create the strategy? That is, you know how an instrument is usually defined
by OHLCV? Why not add another column called MyIndicator to your instruments
outside the strategy definition? The strategy will pick up the column in
the signals phase.


On Wed, Apr 1, 2015 at 9:41 PM, Ueli Hofstetter <uelihofstetter at gmail.com>

> I have posted two questions regarding Blotter and Quantstrat on
> Stackoverflow and appreciate any hints and suggestions:
> Nr 1: ----------------------------------------------
> http://stackoverflow.com/questions/29403601/how-to-implement-rule-based-rebalancing-strategy-using-quantstrat-blotter
> How to implement rule based rebalancing strategy using QUANTSTRAT/BLOTTER
> <
> http://stackoverflow.com/questions/29403601/how-to-implement-rule-based-rebalancing-strategy-using-quantstrat-blotter
> >
> :
> I am trying to implement a rulebased rebalancing strategy within the
> QUANTSTRAT framework. Let's assume I want to base my rebalancing time for a
> portfolio of instruments on some indicator which is not calculated from a
> traded instrument but from some other time series (for instance GDP
> figures) and whenever the signal based on that indicator is triggered
> (let's say GDP drops by x% within some period z) I d'like rebalance my
> portfolio according to some rebalancing algorithm (e.g. Markowitz).
> My idea was to
>    - create a dummy instrument for the non-instrument based timeseries so
>    that I can define and indicator and rule based on it and
>    - to write my own 'ruleSignal' implementation in order to do the
>    algorithm based rebalancing.
> So my question is: Is this a reasonable approach (is it even possible)? Or
> would it be better to use BLOTTER directly (and thus not to rely on the
> QUANTSTRAT abstraction)?
> Nr 2: ----------------------------------------------
> http://stackoverflow.com/questions/29403028/how-do-blotter-quantstrat-quantmod-performanceanalytics-handle-internal-cashflow
> How do blotter/quantstrat/quantmod/performanceanalytics handle internal
> cashflows
> <
> http://stackoverflow.com/questions/29403028/how-do-blotter-quantstrat-quantmod-performanceanalytics-handle-internal-cashflow
> >
> ?
> I don't understand how internal cashflows are handled in
> blotter/quantstrat/quantmod/performanceanalytics. This mainly concerns two
> aspects: Regular cashflows like dividends, coupons etc. as well as
> cashflows from expiring instruments (e.g. a cash settled in the money
> option). For equities this seems not too much of an issue as one can always
> use dividend adjusted prices and it is relatively rare that stocks get
> delisted. For coupon bonds or options however, I don't get how this is
> handled.
> So my questions are:
>    - Is there a generic mechanism to handle internal cashflows (dividends,
>    coupons, repayments etc.) in these packages?
>    - If so, is there some documentation for this and where can I find the
>    relevant implementation in the source code (i.e. pointers to specific R
>    files and/or functions would be great)?
> Cheers
> --
> Ueli Hofstetter
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