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systematicinvestor / SIT

Systematic Investor Toolkit
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load(data.proxy.raw.Rdata) #27

Open richjung opened 7 years ago

richjung commented 7 years ago

Hi,

I try to get prices from the combined tickers like the following. However, I could not load 'data.proxy.raw.Rdata' and find the code in this area. How can I solve this problem? Thank you in advance

library(SIT)

tickers = '

  • US.STOCKS = VTI
  • FOREIGN.STOCKS = VEU + FDIVX
  • US.10YR.GOV.BOND = IEF + VFITX
  • REAL.ESTATE = VNQ + VGSIX
  • COMMODITIES = DBC + CRB
  • CASH = BND + VBMFX
  • ' load('data.proxy.raw.Rdata') Error in readChar(con, 5L, useBytes = TRUE) : cannot open the connection In addition: Warning message: In readChar(con, 5L, useBytes = TRUE) : cannot open compressed file 'data.proxy.raw.Rdata', probable reason 'No such file or directory'
systematicinvestor commented 7 years ago

Please have a look at the http://systematicinvestor.github.io/Data-Proxy for detail instructions how to generate the data.proxy file

richjung commented 7 years ago

Thank you for your help. I really appreciate for providing a great package to improve my study.

But, I have some problem in making a code for a portfolio analysis. Actually, I want to get skewness from each models' return but I've got same returns as the below. I don't know where I lost.

And, I also want to rebalance these models based on portfolio return not each asset's weight. So I think the first step for these works is to get the portfolio returns by each models.

models$smart5.all = bt.max.deviation.rebalancing(data, buy.hold, target.allocation, 5/100, 0) models$smart5.half = bt.max.deviation.rebalancing(data, buy.hold, target.allocation, 5/100, 0.5) head(models$months$ret) GLD 2004-11-18 0.0000000000 2004-11-19 -0.0029186184 2004-11-22 0.0035007580 2004-11-23 -0.0004686924 2004-11-24 0.0022484257 2004-11-26 -0.0007104453 head(models$smart5.all$ret) GLD 2004-11-18 0.0000000000 2004-11-19 -0.0029186184 2004-11-22 0.0035007580 2004-11-23 -0.0004686924 2004-11-24 0.0022484257 2004-11-26 -0.0007104453

Thank you for your kind help in advance and I'm looking forward to get your response.