Thanks, Gabor! Poorly worded question -- I know the theory of sorting, but
not the practice. The right phrase to rseek was "backtest".

PerformanceAnalytics has the relevant features. As does backtest. Thanks!

On Sun, Nov 14, 2010 at 16:04, Gabor Grothendieck
<ggrothendieck@gmail.com>wrote:

> On Sun, Nov 14, 2010 at 3:18 PM, richard.c.herron@gmail.com
> <richard.c.herron@gmail.com> wrote:
> > On Sun, Nov 14, 2010 at 13:09, Gabor Grothendieck <
> ggrothendieck@gmail.com>
> >>
> >> Normally in zoo you would represent your data in wide form rather than
> >> long form in which case there is no problem:
> >>
> >> > library(zoo)
> >> > f <- function(x) as.yearmon(as.character(x), "%Y%m")
> >> > z <- read.zoo(temp, split = "symbol", FUN = f)
> >> > lag(z, 0:1)
> >>         a.lag0 b.lag0 c.lag0 a.lag1 b.lag1 c.lag1
> >> Aug 2008      1      2      3      4      5      6
> >> Sep 2008      4      5      6      7      8      9
> >> Oct 2008      7      8      9     10     11     12
> >> Nov 2008     10     11     12     NA     NA     NA
> >>
> >> --
> >> Statistics & Software Consulting
> >> GKX Group, GKX Associates Inc.
> >> tel: 1-877-GKX-GROUP
> >> email: ggrothendieck at gmail.com
> >
> > Thanks, Gabor!
> > I knew about zoo's preference for single row per date, but I didn't know
> > read.zoo() converted to wide or the lag(x, 0:1) trick.
> > Seeing this has me questioning my ideas on portfolio sorting. Is there a
> > good reference on forming portfolios along a given parameter (kind of
> like
> > Jegadeesh-Titman momentum portfolios, but sorted along a parameter other
> > than return)? The search terms I'm using in rseek.org aren't yielding
> much.
> > Thanks!
>
> This is not R specific and am not sure if its what you are after but
> here is one paper:
> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1108361
> Also you might look at the PerformanceAnalytics package.
>
> --
> Statistics & Software Consulting
> GKX Group, GKX Associates Inc.
> tel: 1-877-GKX-GROUP
> email: ggrothendieck at gmail.com
>

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