[R-SIG-Finance] Questions regarding Cashflows in Blotter and hacking Quantstrat
ilya.kipnis at gmail.com
Thu Apr 2 04:17:38 CEST 2015
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
On Wed, Apr 1, 2015 at 10:04 PM, Ueli Hofstetter <uelihofstetter at gmail.com>
> 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>:
>> 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
>> > wrote:
>>> I have posted two questions regarding Blotter and Quantstrat on
>>> Stackoverflow and appreciate any hints and suggestions:
>>> Nr 1: ----------------------------------------------
>>> 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)?
>>> would it be better to use BLOTTER directly (and thus not to rely on the
>>> QUANTSTRAT abstraction)?
>>> Nr 2: ----------------------------------------------
>>> How do blotter/quantstrat/quantmod/performanceanalytics handle internal
>>> I don't understand how internal cashflows are handled in
>>> blotter/quantstrat/quantmod/performanceanalytics. This mainly concerns
>>> 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
>>> 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
>>> So my questions are:
>>> - Is there a generic mechanism to handle internal cashflows
>>> 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
>>> files and/or functions would be great)?
>>> Ueli Hofstetter
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>>> should go.
> Ueli Hofstetter
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