[R-SIG-Finance] Quantstrat to backtest portfolio strategy. User Defined Weights

[Brian G. Peterson]

On Wed, 2016-12-14 at 14:28 +0000, Vineet Gupta wrote:
> I am trying to use Quantstrat to backtest a portfolio strategy with
> user defined weights at each re-balance date. The user defined
> weights, are given in a matrix (example shown below)
> 
>          Date     ABC.UN   ABT.UN ACN.UN ADBE.UW
> 
> 20 2015-05-15 0.50000000 0.000000    0.5       0
> 21 2015-05-22 0.50000000 0.000000    0.5       0
> 22 2015-05-29 0.50000000 0.000000    0.5       0
> 23 2015-06-05 0.50000000 0.000000    0.5       0
> 24 2015-06-12 0.08865296 0.411347    0.5       0
> 25 2015-06-19 0.00000000 0.500000    0.5       0
> 
> Simply put, how can I backtest such a strategy, using Quantstrat? I
> have looked at the rule, 'rulePctEquity', but this appears to only
> govern maximum trade sizes. 
> 
> What information does Quantstrat need to re-balance my portfolio at
> each user-defined re-balance date?
> 
> Thanks in advance. Very much appreciated

You haven't really given us enough information to answer your question,
so I'm just guessing based on the information you did provide.

If you are simply 'trading' a portfolio strategy where the portfolio is
rebalanced form one set of weights to another on a specified
rebalancing period, you probably don't want quantstrat at all.

In that case, you likely want the function Return.portfolio in
PerformanceAnalytics or you want to use PortfolioAnalytics to construct
your target portfolio.

Working in returns and weights is different than working in trades and
cash.

rulePctEquity simply governs how much of the total equity is available
for each instrument in the strategy.  It doesn't reduce the size of an
existing position on the rebalance period, if there is one.  It could
certainly be extended to enter orders or transactions to rebalance, if
you wanted it to.

You'll have to provide a minimal reproducible example and more
information about what you'd like to do for someone to be able to help
you further.

Regards,

Brian