Updated Tactical Asset Allocation Results

In November, I used the strategy in Mebane Faber’s Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy’s results through the end of 2009. For those interested, he expands on the paper in his book, The Ivy Portfolio.

Tactical asset allocation using blotter

Hi, If I change to.monthly() to to.weekly() it se… Unknown - Nov 4, 2009Hi, If I change to.monthly() to to.weekly() it seems to die strangely. Any ideas? Cheers, -——- Error in if (!all(i <= 0)) stop(“only zeros may be mixed with negative subscripts”) : missing value where TRUE/FALSE needed Calls: updateAcct -> calcPortfSummary -> time -> [ -> [.xts Thanks Josh for providing this nice example of the use of blotter.

Tactical asset allocation using blotter

NOTE: If you simply want to test strategies in R, please see the post: Tactical Asset Allocation Using quantstrat.¬†quantstrat uses blotter behind the scenes, but provides a higher level of abstraction. blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post borrow heavily from code and comments in the “longtrend” demo script in the blotter package.