[R-SIG-Finance] quantstrat faber.R transactions?

[Brian G. Peterson]

As I mentioned on your other post, please follow the posting guide and 
do not post in HTML.

http://www.r-project.org/posting-guide.html

This one is a bit more decipherable.

The faber.R demo uses a fixed order quantity, as should be obvious from

orderqty=500

There is also a rebalancing demo that uses a fixed percentage of equity, 
see

demo('faber_rebal')

It is, of course, impossible to compute a 10 month SMA without 10 months 
of data.

Investments happen when there is a signal.  If there is no signal, there 
is no investment.

If you want to more closely follow Faber's paper, the 'faber_rebal' demo 
is a much closer representation of the paper.  Per the paper, the 
investment is either in the market for a fixed percentage of equity, or 
in cash.

Regards,

Brian

On 09/09/2014 08:13 AM, Andre Mikulec wrote:
>   Hi,May someone enlighten me?
> I am running the faber.R demo
> Here is the urlhttps://r-forge.r-project.org/scm/viewvc.php/pkg/quantstrat/demo/faber.R?view=markup&root=blotter
> Q # 1------Of the initial equity, I notice that  100,000 dollars invested.At the start ,is the money split evenly, among the 9 sectors?
> Each is invested  11,111.11 dollars? Is this true?
> Or, is just a big pile of cash sitting there, waiting for the first transaction?
> One reason why I am asking this is because the end result offaber.stats$Net.Trading.PL seems to look like the average is around 11,000.
>
> Q # 2-----I notice that financial data on the sectors is loaded the beginning of 1999getSymbols( ...  from='1999-01-01')
> I notice that the first transaction starts 10 months later,is this because the SMA of 10 months needs '10 months of data'?
> [1] "1999-12-31 00:00:00 XLB 500 @ 26.58"[1] "2000-01-31 00:00:00 XLB -500 @ 23.33"[1] "2000-12-31 00:00:00 XLB 500 @ 21.42"[1] "2001-03-31 00:00:00 XLB -500 @ 19.97"[1] "2001-04-30 00:00:00 XLB 500 @ 22.1"
> Q # 3-----This relates to (Q # 1) and (Q # 2)At the time of "1999-12-31" is just the "XLB" being 'invested in'?
> Are the other sectors already invested? '1/9th of 100,000'? Or something different?
> Before "1999-12-31" is all of the 100,000 dollars in cash and 'not invested at all'?
> Q & 4-----Is 11,111.11  ('1/9th of 100,000') dollars being reserved for each sector?If a 'sector' performs poorly and looses all of the 11,111.11 dollars,will following future  transactions 'to sell -500' just turn into '-0'?
> Thank you,Andre MikulecAndre_Mikulec at Hotmail.com
>
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