[R-SIG-Finance] Quantstrat - Multi-symbol (cross-section) analysis implimentation question..

Michael Chen mwc4120 at hotmail.com
Sun Jul 30 19:10:49 CEST 2017


I am trying to impliment a seemingly simple analysis in Quanstrat, but I am stuck.  Let's say that I have 50 futures in my data frame.  Each future is a time series of OHLC data.  I want to at each time stamp, compare the value of an indicator for each future and rank the futures accordingly.   For example, I want to rank the futures based on each's 5-day return.  How do I impliment this in Quanstrat?

So far, the only way I came up with go get around this is to pre-process each future's data then store the ranking data for each future in its own data set.  But this is not flexible and cumbersome.

Thank your for any suggestions, obviously I don't have a reproducible code yet.


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