quantstrat - model transactions on specific dates
On 10/09/2014 04:00 PM, Mark Knecht wrote:
Best I can tell the applyStrategy.rebalance function rebalances individual stocks based on the last entry date of that stock but not, for instance, on a specific date like the a calendar quarter. (I wasn't going to post this all right now until I was really sure so don't take this too seriously.) Anyway I want to write something like what Faber & Richardson wrote about in 'The Ivy Portfolio' where the whole portfolio is rebalanced on a given date, like end-of-month, independent of whether I'm using the 10 month SMA or not. For that reason I figured I might need a way to match indexes to dates going though time.
see the faber_rebal demo. The rebalance_on argument will call the rebalancing rule(s) on whatever periodicity you tell it to, you'll have to have something for them to do. In the demo, I just changed max order size, but there's no reason you couldn't write a (strategy specific) rebalancing rule that wouldn't read all the positions, and do transactions on the rebalance date. Regards, Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock