股票组合在特定日期按信号进行等权再分配

Question

我想在特定的日期重新分配一个战略组合：

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

获取资产价格并获得每日离散收益。

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:当RSI < 30时我购买资产，当RSI >= 30时不购买

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

，这是我遇到问题的地方，。来自ret.mat.rsi的返回是每日的返回。假设我想在这个月的第一天查看rsi矩阵。

> 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

我想购买我的投资组合中的前4种资产，因为它们的RSI都在30以下，在这个月剩下的时间里(不管是否有进一步的RSI信号)，这些头寸将保持不变，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

我不想买任何资产的地方。

现在的整个问题是如何在特定日期，即每个月开始(也可以是每周或每三周)对投资组合进行自动重新分配。投资组合回报只应包括那些在重新分配日期满足指标条件(此处RSI < 30)的资产。

Answer 1

我会如何编码你的例子：

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's startpoints function获取每个月的第一个RSI值。startpoints允许您选择任意数量的周、月、季度等作为再平衡期。

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