[R-SIG-Finance] Problems with values in blotter portfolio and end equity

[liciobruno]

Hi

I have found a mismatch with values in blotter.

I try to explain.

I have a xts object containing the prices (Open, Hi, Low, Close) of a stock.

Using blotter portfolio and account, I made a simple trading system using
moving averages as signals.
I made my experiments adding only few transactions to portfolio, using the
closing prices.

After the first transaction, the day after, I made a control about the end
equity, and I noted that it has a different value respect the numerical
difference between the close prices of the current day and the previous day.

Following is the code (I deleted the not inherent parts)

...
ptf_EMA='ptfEMA'
acc_EMA='accEMA'
initPortf(ptf_EMA, cross, initDate=start) 
initAcct(acc_EMA, portfolios=ptf_EMA, initDate=start, initEq=initEq) 
verbose=TRUE

for (i in (longPer + 1) : nrow(Prices)){
  
	currentDate <- time(Prices)[i]
	closePrice <- as.numeric(Cl(Prices[i]))
	
  if (first.cross == F) {
    if (EMA_short[i] > EMA_long[i]) {
      if (EMA_short[i-1] > EMA_long[i-1]) {
        sig.tot[i] <- 0
      } else if (EMA_short[i-1] < EMA_long[i-1]) {
        sig.tot[i] <- 1
        first.cross <- T
        
	addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = unitSize , TxnFees=0, verbose=T)
      }
    } else if (EMA_short[i] < EMA_long[i]) {
      if (EMA_short[i-1] < EMA_long[i-1]) {
        sig.tot[i] <- 0
      } else if (EMA_short[i-1] > EMA_long[i-1]) {
        sig.tot[i] <- -1
        first.cross <- T
        
        addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = -unitSize , TxnFees=0, verbose=T)
      }
    }
  } else if(first.cross == T) {
    if (EMA_short[i] > EMA_long[i]) {
	  if (EMA_short[i-1] > EMA_long[i-1]) {
	    sig.tot[i] <- 1
	  } else if (EMA_short[i-1] < EMA_long[i-1]) {
	    sig.tot[i] <- 1
      Posn = getPosQty(ptf_EMA, Symbol=cross, Date=currentDate)
		  
	    addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = -Posn , TxnFees=0, verbose=T)
	   
	    addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = unitSize , TxnFees=0, verbose=T)
  	  }
    } else if (EMA_short[i] < EMA_long[i]) {
	  if (EMA_short[i-1] < EMA_long[i-1]) {
		  sig.tot[i] <- -1
	  } else if (EMA_short[i-1] > EMA_long[i-1]) {
  		sig.tot[i] <- -1
      Posn = getPosQty(ptf_EMA, Symbol=cross, Date=currentDate)
  		cat('\n')
  		# Aggiungere transazione chiusura
      addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = -Posn , TxnFees=0, verbose=T)
  		# Aggiungere transazione apertura
  		addTxn(Portfolio=ptf_EMA, Symbol=cross,  TxnDate=currentDate,
TxnPrice=closePrice, TxnQty = -unitSize , TxnFees=0, verbose=T)
	  }
    }
  }
  
  updatePortf(ptf_EMA, Dates = currentDate)
  updateAcct(acc_EMA, Dates = currentDate)
  updateEndEq(acc_EMA, Dates = currentDate)
	
}

...


I'm new in R, so please, excuse me if my code is not so good.

Thank you for your attention.

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