targetall_nfunds: Implement a Fixed-Allocation Trading Strategy Using N Funds

In stocks: Stock Market Analysis

Description

Implements a trading strategy aimed at maintaining a fixed allocation to each of several component funds, rebalancing when the effective allocations deviate too far from the targets.

Usage

targetall.nfunds(tickers = NULL,
                 intercepts = NULL, slopes = NULL, ...,
                 tickers.gains = NULL,
                 target.alls = NULL,
                 tol = 0.05,
                 rebalance.cost = 0,
                 initial = 10000)

Arguments

tickers	Character vector specifying 2 or more ticker symbols.
intercepts	Numeric vector of values to add to daily gains for each ticker. For example, if you want to simulate a 1% annual expense ratio for only the second fund, you would set intercepts = c(0, convert.rate(-0.01, units.in = 252, units.out = 1)).
slopes	Numeric vector of values to multiply daily gains for each ticker by. For example, if you want to simulate a 2x leveraged version of the first fund, you would set slopes = c(2, 1). The slopes are multiplied prior to adding the intercepts.
...	Arguments to pass along with tickers, intercepts, and slopes to load.gains function, if you wish to load data on the fly rather than specify tickers.gains.
tickers.gains	Numeric matrix of gains (daily or otherwise) for 2 or more funds.
target.alls	Numeric value indicating target allocations to each fund. If unspecified, equal allocations are used (e.g. if there are 3 funds, allocations are 1/3, 1/3, 1/3).
tol	Numeric value indicating how far the effective allocations can drift away from the targets before a rebalancing trade is triggered.
rebalance.cost	Numeric value indicating how much each rebalancing trade costs. For example, if each trade costs $7 and you're looking at a 3-fund strategy, you should set rebalance.cost = 21 since rebalancing requires three trades.
initial	Numeric value giving the initial value of the portfolio.

Details

If tickers is specified, it gets passed to load.gains to load historical prices from Yahoo! Finance using the quantmod package [1]. If tickers.gains is specified, gains from that matrix are used.

Value

A 2-element list containing the following:

1. Numeric matrix named fund.balances giving the balance for each fund and the portfolio over time.
2. Numeric value named rebalance.count giving the number of rebalancing trades that were executed.

Note

NA

Author(s)

Dane R. Van Domelen

References

1. Jeffrey A. Ryan (2016). quantmod: Quantitative Financial Modelling Framework. R package version 0.4-6, https://cran.r-project.org/package=quantmod.

Acknowledgment: This material is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0940903.

Examples

NA

Example output

Loading required package: rbenchmark
[1] NA

stocks documentation built on May 2, 2019, 5:22 p.m.