[R-SIG-Finance] EndEquity lower than initEq despite positive p/l

Brian G. Peterson brian at braverock.com
Thu May 12 01:10:29 CEST 2011

yes, the fix made it in.  Change your strategy to not specify the Dates
grouping at all.  Let the function take care of itself.  Or take a look
at the 'pairs_trade' demo in quantstrat contributed by Garrett See for a
more sophisticated treatment.


   - Brian

On Wed, 2011-05-11 at 15:56 -0700, algotr8der wrote:
> I was wondering if this fix has been included in the latest download for
> blotter available on r-forge:
> http://r-forge.r-project.org/src/contrib/blotter_0.8.tar.gz
> It says the last change was: 2011-05-08 05:02:59+02 | Rev.: 601
> I downloaded this package as well as the latest quantstrat package (v603)
> and installed them manually but ran into the same problem.
> Appreciate the guidance.
> --
> View this message in context: http://r.789695.n4.nabble.com/EndEquity-lower-than-initEq-despite-positive-p-l-tp3499089p3516083.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

More information about the R-SIG-Finance mailing list