382 reputation
16
bio website
location
age
visits member for 2 years, 8 months
seen 19 hours ago

Sep
17
comment multiperiod optimization using R
Generally most R functions (in the returnanlytics libraries) accept continuous (e.g. log) or arithmetic returns. However PortA is highly customizable so you can modify and insert whatever you like.
Sep
16
awarded  Commentator
Sep
16
comment multiperiod optimization using R
PortfolioAnalytics allows you to choose the optimizer, There are 5 (iirc) choices and one of them includes differential evolution. There is also an optimize that re balances over time. As it is all open source you can refer to the source code for the inner workings of the package.
Sep
16
revised multiperiod optimization using R
deleted 2 characters in body
Sep
16
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Good question: You are defining log returns by log(PriceNew/Priceold) correct? It would actually think the returns you inputted are "Arithmetic" for each period and give you arithmetic outputs. Returns are not additive for cumulative return you will need to use the Return.cumulative(Return.portfolio(Returns,weights)) or rowSums(weight_matrix*Return_matrix) for the case of where dim(weight_matrix)== dim(Return_matrix)
Sep
15
awarded  Yearling
Sep
15
answered multiperiod optimization using R
Sep
15
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
"As output I get an xts object with the return per period. are these returns simple or continuous, i.e. can I just sum them up to get the cumulative return over the whole period?" To get the cumulative return please use the Return.cumulative function as you will need to compound them. Return.cumulative(Return.portfolio(edhec,weights))
Sep
15
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
To your question contained in the fourth comment: "Assume we have two rebalancing dates (of weights): 1st of January and 1st of March. Returns are on a daily basis. So all returns between 2nd of January and 1st of March are multiplied by the weights given on the 1st of Jan, correct?" The answer would be no, each return is multipled by the previous periods equity in the position. Unless if it is a rebalancing date then it's by the weight.
Sep
12
revised How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
added 400 characters in body
Sep
12
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
It let's the weights float (as in moved by the market) during the periods not in the weights matrix, the weight matrix is NOT invoked on periods not in weights.
Sep
11
revised How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
added 249 characters in body
Sep
11
answered How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
Mar
15
awarded  Critic
Jun
22
comment Can end-to-day trading be profitable? If not, why?
Im saying without a serious edge. I personally trade algorithmically with holding times in the minutes and without an edge I would be losing money as assuming equal win to loss threshold. Secondly it is the ratio of profit threshold to transaction cost, the higher this ratio this less accurate you can be.
Jun
22
revised Can end-to-day trading be profitable? If not, why?
added 286 characters in body
Jun
22
comment Can end-to-day trading be profitable? If not, why?
By solving the general horizon problem, with the relationship of cost to threshold explained, it should make the answer to the problem very clear.I will edit my post to clarify.
Jun
21
revised Can end-to-day trading be profitable? If not, why?
added 732 characters in body
Jun
21
answered Can end-to-day trading be profitable? If not, why?
Jun
21
awarded  Editor