[R-SIG-Finance] quantstrat executes trades that are more worth than total equity

[Brian G. Peterson]

On Thu, 2012-02-16 at 09:23 -0800, Sergey Pisarenko wrote:
> Hi R programmers,
> 
> I am seeing strange behavior with quanstrat transactions. The problem
> is that it triggers orders that are larger than the total equity. For
> example, if I create an account with initial equity of 100 000 I see
> that rules that exceed the total equity are still executed and
> reported.
> 
> Is this the intended behavior? Do I need to write my own sizing
> function which will take care of this?

Yes.

Most institutional and many personal trading accounts use leverage.

See Guy Yollin's UW lecture slides for an example of equity-aware order sizing rules. Your order sizing function will likely be different, of course.

When I get a chance I will try to add more information to the
documentation to make this more clear.

> I have attached the whole runnable sample script to this e-mail. I
> have removed all the code which is not relevant to the issue.

THANK YOU for providing reproducible code.  It makes the task of
understanding a questions, debugging a problem, and communicating from
the same position so much easier.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock