Return.portfolio is an easy function to use to calculate the aggregate performance of a portfolio that is rebalanced on a regular basis or that has a custom weighting scheme on the same periodicity of returns. I cannot find any provision in Return.portfolio, however, for incorporating the transaction costs for the rebalancing in the portfolio. The resulting portfolio performance would seem to be high to the extent of the transaction costs.
On the other hand, running strategies in Quantstrat on individual securities (or groups of securities) allows one to take into account estimated trading costs to generate somewhat realistic performance estimates. Quantstrat, however, does not seem to have any readily accessible functions to balance a portfolio of securities within a portfolio limit. Previous related discussions seem to suggest the only solution is to write custom order sizing functions to include in the strategy's rules. I may be able to figure how to write custom functions in Quantstrat to do this after a lot of brain damage, or alternatively my own version of Return.portfolio, but I thought I should check with the community to see if there are any better suggestions for this. Given that many investment strategies rely on portfolio rebalancing under some set of rules, as opposed to buying and selling individual securities on the basis of rules, I would be surprised if I were the first person to wonder about this. Robert C Wages USA Mobile: +1 717 618 2828 rob...@rwages.com <mailto:rob...@rwages.com> [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.