[R-SIG-Finance] quantstrat - Guy Yollin blotter 2014 presentation

[Guy Yollin]

Amarjit,

I'm not comfortable with you taking a single line from our private 
communication and posting it to a public mailing list since it may be 
interpreted out of context.

What I fully said was:


    I started sharing my lecture slides because I wanted to give back to
    the R community and I thought other folks may find the slides and
    the scripts useful; in this particular area there is very little
    other documentation.

    However, that's really all I can do.  I do not have the time or
    resources to provide 1-on-1 support in this area.

    If you find the materials useful, that's great; if you have
    questions about blotter/quantstrat then R-SIG-FINANCE is probably
    the best resource.  For specific questions about my slides, I'm
    sorry but they are provided without support.    Hopefully you
    understand these limitations.

    If you are interested, you could certainly enroll in my class, it's
    available online and I'll be teaching this material again in March
    2015.  Now, however, I'm onto a another subject.


G


On 9/10/2014 11:45 PM, amarjit chandhial wrote:
> I have asked Guy Yollin directly who says and I quote "I do not have 
> the time or resources to provide 1-on-1 support in this area."
>
> Thus, I am asking the community regarding his blotter 2014 
> presentation found here: http://www.r-programming.org/papers
>
>
> Slides 39-40
> ------------------
> Slide 39 has Drawdown = 0 --- from chart.Posn
> Slide 40 has Max.Drawdown = -441461.8
>
> Why the difference?
>
>
>
> Slides 30-57
> ------------------
> My understanding is via the following definitions:
> (a) for discrete or simple returns, cumulative return <- cumprod(1+rets.s)
> (b) for compound or log returns, cumulative return <- 
> exp(cumsum(rets.cc) )
>
>
> 'rets' are returns from b.strategy calculated via PortfReturns (Slide 
> 47). So from ?PortfReturns these are returns on initial equity. At 
> each point in time 'rets' = Net.Trading.PL/initEq. These require 
> geometric chaining.
>
> In Slide 47 charts.PerformanceSummary(rets,colorset = bluefocus) --- 
> has default geometric=TRUE
>
>
> 'returns' (Slide 56) are cbind(rets,rets.bh), with
> 'rets.bh': buyHold
> 'rets': b.strategy, as before,
>
> In Slide 56 charts.PerformanceSummary(returns, geometric=FALSE, 
> wealth.index=TRUE)
>
>
> Comparing Slides 48 & 57 faber curves do not agree. Slide 48 has a 
> value of approx.10.63, Slide 57 has a value of approx.3.77 
> (wealth+2.77). It cannot be both-ways regarding returns from 
> b.strategy, it's either geometric or arithmetic chaining?
>
> So hypothetically speaking my boss says to me you have a strategy that 
> makes Net profit = 2,770,644, on an initial equity = 1,000,000 (slides 
> 30-42), yet you say to me it makes cumulative return of 10.63 (slides 
> 47-50), how does that work?
>
>
> Can someone shed some light on this?
>
>
>
> Amarjit
>
>
>
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