Dear all,
I am trying to create a dynamic core-satellite strategy and backtest it in R. So far, I think that the best solution to be able to "migrate" capital/equity from the core to a satellite and back is to create 1 account but have 2 different portfolios for the account, each with its specific symbols allocated to it:
core.symbols <- c('SPY', 'BWX')
satellite.symbols <-c('JNK', 'GLD')
Thus using one of the 2 above for its designated portfolio, I think would be easier to assign symbols to the specific part of the strategy.
My questions are:
1) how can i assign capital to one of the portfolios and be able to analyze and possibly change it after each day/week/month or whatever the time step will be?
2) how can i optimize my portfolio on a rolling time frame (tried to use fPortfolio but I need to change to classes back and forth from xts & zoo to timeSeries and back). Shoult i recreate an optimization function?
Looking forward to your responses, and if you have any comments regarding the possible ways to do this, do not hesitate to do so.
Thank you in advance.
Best regards,
Cristian Popescu
Quantstrat optimal portfolio & dynamic core-satellite strategy
2 messages · Cristian Popescu, Brian G. Peterson
On 11/27/2012 02:20 PM, Cristian Popescu wrote:
Dear all,
I am trying to create a dynamic core-satellite strategy and backtest it in R. So far, I think that the best solution to be able to "migrate" capital/equity from the core to a satellite and back is to create 1 account but have 2 different portfolios for the account, each with its specific symbols allocated to it:
core.symbols <- c('SPY', 'BWX')
satellite.symbols <-c('JNK', 'GLD')
Thus using one of the 2 above for its designated portfolio, I think would be easier to assign symbols to the specific part of the strategy.
My questions are:
1) how can i assign capital to one of the portfolios and be able to analyze and possibly change it after each day/week/month or whatever the time step will be?
2) how can i optimize my portfolio on a rolling time frame (tried to use fPortfolio but I need to change to classes back and forth from xts & zoo to timeSeries and back). Shoult i recreate an optimization function?
Looking forward to your responses, and if you have any comments regarding the possible ways to do this, do not hesitate to do so.
Thank you in advance.
I'll try to make a longer answer sometime tomorrow, but I wanted to give
you the short answer now.
The short answer is 'rebalance' rules. These currently only work on one
portfolio, but I don't think that will be a problem, as you can simply
have different rules for 'core' and 'satellite' in the single portfolio.
See the 'faber' demo for one without rebalance rules, and 'faber_rebal'
for the same strategy with a quarterly rebalance rule. As with
everything in quantstrat, it is modular, and you can write a custom
rebalance rule that will be aware of the current state of the portfolio
at the time the rebalance rule(s) is evaluated.
Regards,
- Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock