quantstrat (version 0.16.7)

applyStrategy.rebalancing: apply the strategy to arbitrary market data, with periodic rebalancing

Description

This function is the wrapper that holds together the execution of a strategy with rebalancing rules.

Usage

applyStrategy.rebalancing(strategy, portfolios, mktdata = NULL,
  parameters = NULL, ..., verbose = TRUE, symbols = NULL,
  initStrat = FALSE, updateStrat = FALSE)

Arguments

strategy

an object of type 'strategy' or the name of a stored strategy to apply

portfolios

a list of portfolios to apply the strategy to

mktdata

an xts object containing market data. depending on indicators, may need to be in OHLCV or BBO formats, default NULL

parameters

named list of parameters to be applied during evaluation of the strategy, default NULL

...

any other passthru parameters

verbose

if TRUE, return output list

symbols

character vector identifying symbols to initialize a portfolio for, default NULL

initStrat

whether to use (experimental) initialization code, default FALSE

updateStrat

whether to use (experimental) wrapup code, default FALSE

See Also

strategy, applyIndicators, applySignals, applyRules, initStrategy, applyStrategy