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

[Peter Chan]

Hi Ueli

One thing to bear in mind if you use the Return.portfolio function in PerfomanceAnalytics is that it doesn't take transaction costs into account.
In the help page you will see "That effectively provides a zero-transaction cost change to the position values as of that date to reflect the rebalance."


Transaction costs can have a material impact on your investment strategy's performance depending upon how frequently you rebalance and the magnitude of the weight changes. 


So be aware that your results using Return.portfolio will be biased upward. 


Thanks


Peter







---- On Thu, 02 Apr 2015 02:50:55 +0000 Ueli Hofstetter <uelihofstetter at gmail.com> wrote ---- 

Thanks for the reply. Regarding the reason for using quantstrat: No, there 
is no particular reason but that it seems to provide quite a lot of 
functionality out of the box .... but unfortunately, as you pointed out, it 
is not the functionality I actually need ;-). In this case, I guess I will 
use blotter and performanceanalytics directly. 
 
thanks a lot for the advise. 
 
2015-04-02 4:17 GMT+02:00 Ilya Kipnis <ilya.kipnis at gmail.com>: 
 
> 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 
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>>>> should go. 
>>>> 
>>> 
>>> 
>> 
>> 
>> -- 
>> Ueli Hofstetter 
>> 
> 
> 
 
 
-- 
Ueli Hofstetter 
 
    [[alternative HTML version deleted]] 
 
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