[R-SIG-Finance] Jegadeesh & Titman Strategy Implementation

[ROUX, Nicolas]

Hello all,

Is there a package/function capable of implementing a momentum strategy
described in Jegadeesh & Titman (1993) and backtesting it? General steps of
the strategy are:
1- taking monthly stock prices/returns,
2- ranking monthly/period returns,
3- create equally weighted portfolio of top and bottom stock returns,
4- hold for "n" months (quarter, semester, year) with no updating in
between,
5- rebalance portfolio after holding period,
6- return results.

I have created a roundabout way using return.portfolio from
performanceanalytics but would like to use a package which allows the
possibility to progressively more complex strategies.
I cannot find a way to implement the holding period in the quantstrat
package or the ranking conditions and holding period in portfolioanalytics
package (uses only a complex ranking method).

Cheers,

Nicolas Roux

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