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Equal weighted portfolio in R quantstrat package
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Equal weighted portfolio in R quantstrat package

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Trading Apprentice
Hong Kong
 
Futures Experience: Beginner
Platform: R
Favorite Futures: Stocks
 
Posts: 1 since Jun 2015
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Equal weighted portfolio in R quantstrat package

I am now trying to create an equal weighted portfolio using quantstrat which will rebalance at the month end. Instead of using fixed quantities, I need to have the latest portfolio value reallocated to each constituents equally. May I know how can I achieve this in the add.rule? In other words, how can I draw the most updated portfolio value in each rebalancing?

To be clear, I will generate a list of 10 stocks each month end and what I want is to equally allocate the latest portfolio amount equally to the 10 stocks repeatedly each month end.

Any help will be appreciated.

Thanks Donald

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This post has been selected as an answer to the original posters question Answer


Wrong tool.

Require(PerformanceAnalytics)

?Return.portfolio

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