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我想在特定日期重新分配策略组合：

require(PerformanceAnalytics)
require(TTR)
require(quantmod)

获取资产价格并获取每日离散收益

tickers = c("ABI.BR","AI.PA","AIR.PA","ALV.DE","ASML.AS")
getSymbols(tickers, from="2012-01-01", to="2013-12-01")

close.prices = do.call(merge, lapply(tickers, function(x) Cl(get(x))))
colnames(close.prices) = c("Anheuser-Busch InBev",
                            "L'Air Liquide","AIRBUS GROUP","Allianz","ASML HLDG")

assets.ret = ROC(close.prices,type="discrete")[-1]

现在我通过将 RSI 函数应用于每个资产来获得 RSI 信号

rsi.fct = function(x) RSI(x, n=20, maType = SMA) 
rsi     = xts(apply(close.prices, 2, rsi.fct), 
              order.by=index(rsi.fct(close.prices[,1]) ) )

> tail(rsi)
           Anheuser-Busch InBev L'Air Liquide AIRBUS GROUP  Allianz ASML HLDG
2013-11-22             51.15171      49.36494     60.25836 61.07143  46.84159
2013-11-25             54.95495      50.82237     63.54717 61.07143  49.63168
2013-11-26             49.65470      52.55102     58.29563 58.18182  48.59023
2013-11-27             54.60575      61.81980     57.94677 62.05674  52.11640
2013-11-28             46.52778      60.76994     57.85061 63.35616  45.70000
2013-11-29             50.99905      61.90476     56.09756 65.49296  48.82479

策略如下：我在 RSI < 30 时买入资产，当 RSI >= 30 时不买入

ret.mat.rsi = lag(ifelse (rsi < 30, 1, 0))*assets.ret

现在这是我遇到问题的部分。ret.mat.rsi 的回报是每日回报。假设我想在每月的第一天查看 rsi 矩阵，例如

> rsi[110]
           Anheuser-Busch InBev L'Air Liquide AIRBUS GROUP  Allianz ASML HLDG
2012-06-01             39.66126       31.1599     30.39443 17.17647  43.85172

我想购买在我的投资组合中权重相等的前 4 种资产，因为它们的 RSI 低于 30，并在本月剩余时间内保持头寸不变（无论进一步的 RSI 信号如何），直到下个月的第一天：

> rsi[131]
           Anheuser-Busch InBev L'Air Liquide AIRBUS GROUP  Allianz ASML HLDG
2012-07-02             84.69529      73.87205     66.25561 74.52642  71.65021

我选择不购买任何资产。

现在的整个问题是如何优雅地编码在特定日期自动重新分配投资组合，即在每个月初（也可以是每周或每三周）。投资组合回报应仅包含在重新分配日期满足指标条件（此处 RSI < 30）的资产。

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1 回答 1

3

我将如何编写您的示例：

require(quantmod)
tickers <- c("ABI.BR","AI.PA","AIR.PA","ALV.DE","ASML.AS")
myEnv <- new.env()
getSymbols(tickers, from="2012-01-01", to="2013-12-01", env=myEnv)

close.prices <- do.call(merge, eapply(myEnv, Cl))
close.prices <- close.prices[,pmatch(tickers,colnames(close.prices))]
colnames(close.prices) <- c("Anheuser-Busch InBev",
  "L'Air Liquide","AIRBUS GROUP","Allianz","ASML HLDG")

assets.ret <- ROC(close.prices,type="discrete")[-1]

rsi.fct <- function(x) RSI(x, n=20, maType = SMA) 
rsi <- xts(apply(close.prices, 2, rsi.fct), index(close.prices))

现在，要回答您的问题，请使用GSee 的 startpoints 函数获取每个月的第一个 RSI 值。 startpoints允许您选择任意周数、月数、季度数等作为再平衡期。

startpoints <- function (x, on = "months", k = 1) {
  head(endpoints(x, on, k) + 1, -1)
}
# get the signal at the beginning of each month
rsi.signal <- lag(ifelse(rsi < 30, 1, 0))[startpoints(rsi),]
# rsi.signal is monthly; we need a daily series where each day has the
# value from the first day of the month, so we merge with an empty xts
# object that has the daily index and use na.locf to fill the gaps
rsi.signal <- merge(rsi.signal, xts(,index(rsi)), fill=na.locf)
# now calculate returns
rsi.ret <- rsi.signal * assets.ret
于 2014-12-09T13:22:55.583 回答