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

[Ueli Hofstetter]

Hi Ilya, thanks for the reply.

Yes I guess this would eliminate the need to add a dummy instrument for the
non-instrument based timeseries. But than the problem is that the signal
gets triggered for all securities in the universe, but actually I need only
one signal to trigger the rebalancing  (again, the signal could be
something like the current lunar phase, i.e. not related to any securities
in the portfolio/universe)..... or did I miss your argument?

2015-04-02 3:50 GMT+02:00 Ilya Kipnis <ilya.kipnis at gmail.com>:

> Ueli,
>
> 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.
>
> -Ilya
>
> On Wed, Apr 1, 2015 at 9:41 PM, Ueli Hofstetter <uelihofstetter at gmail.com>
> wrote:
>
>> 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
>>
>>         [[alternative HTML version deleted]]
>>
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>>
>
>


-- 
Ueli Hofstetter

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