Multi-Asset Momentum Strategy in R

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1) Determine 8 indexes which is representing each asset
2) Get Long Momentum (105 days) and Short Momentum (20 days) to rank
3) Determine the category with the lowest sum of the two ranks. (1st + 5th = 6)
4) To see if the current price is higher than the past 3-month average.
    If it is higher, then do invest


required(quantmod, PerformanceAnalytics, TTR)


#get adjust prices

symbols <- c("NAESX", #small cap "PREMX", #emerging bond "VEIEX", #emerging markets "VFICX", #intermediate investment grade "VFIIX", #GNMA mortgage "VFINX", #S&P 500 index "VGSIX", #MSCI REIT "VGTSX", #total intl stock idx "VUSTX") #long term treasury (cash)

getSymbols(symbols, from="1990-01-01")


#save to Prices

prices <- list() for(i in 1:length(symbols)) { prices[[i]] <- Ad(get(symbols[i])[,6]) }

#change to Dataframe and remove NA values

prices <- cbind="" colnames="" do.call="" gsub="" na.omit="" prices="" span="" z="">

#split cash apart from ranking calculation

cashPrices<-prices font="" prices="">

#calculate momentum

nShort <- 20="" span="">

nLong <- 105="" span="">

nSMA <- 3="" span="">

momShort <- -="" 1="" lag="" nshort="" prices="" span="">

momLong <- -="" 1="" lag="" nlong="" prices="" span="">

PricesQ<-prices endpoints="" on="quarters" prices="" span="">

PricesM<-prices endpoints="" on="months" prices="" span="">

momShortQ<-momshort endpoints="" on="quarters" prices="" span="">

momLongQ<-momlong endpoints="" on="quarters" prices="" span="">

#rank by momentum

srank <- 1="" apply="" br="" lrank="" momlongq="" momshortq="" rank="" t="">

#as there is a chance that both values are same, I put more value on long momentum totRank <- 1.01="" 1="" apply="" function="" lrank="" max="" maxrank="" rankpos="" rankrow="" return="" span="" srank="" t="" totrank="">

# check whether current price is higher than average of past 3 months prices.

PricesSMAsM<- apply="" index="" n="nSMA)," order.by="index(PricesM))" pricesq="" pricessmasm="" pricessmasq="" ricesm="" ricesq="" smafilter="" xts=""> PricesSMAsQ

[출처] 해외주식 투자하기 7편. 멀티에셋 모멘텀 전략|작성자 엉드루

# find intersections between the two

lastPos<- br="" lastpos="" na.omit="" rankpos="" smafilter="">

#invest to cash if there is nothing to invest cash <- cash="" font="" join="inner" lastpos="" merge="" order.by="index(lastPos))" rowsums="" xts="">

#calculate return

prices<-merge cashprices="" eturn.calculate="" font="" join="inner" lastpos="" na.omit="" prices="" return.portfolio="" returns="" stratrets="">

#evaluate the model

table.AnnualizedReturns(stratRets) maxDrawdown(stratRets) charts.PerformanceSummary(stratRets)

portfolio.returns Annualized Return 0.1680 Annualized Std Dev 0.1599 Annualized Sharpe (Rf=0%) 1.0507

maxDrawndown=[1] 0.2978453

-reference-

http://blog.naver.com/htk1019/220924952051

[출처] 해외주식 투자하기 7편. 멀티에셋 모멘텀 전략|작성자 엉드루

[출처] 해외주식 투자하기 7편. 멀티에셋 모멘텀 전략|작성자 엉드루

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