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

[Ilya Kipnis]

Well, I'm not sure quantstrat is the tool for that, then. Quantstrat is a
signal-based backtesting system. If you want to rebalance a portfolio based
on a signal, you may want to do that in PerformanceAnalytics with
Return.Portfolio functionality. Is there a particular reason you want to
use quantstrat?

On Wed, Apr 1, 2015 at 10:04 PM, Ueli Hofstetter <uelihofstetter at gmail.com>
wrote:

> 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]]
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>
>
> --
> Ueli Hofstetter
>

	[[alternative HTML version deleted]]