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

Thu Sep 11 19:10:36 CEST 2014

It is not my intention to be insulting to anyone!

You say:
> He, nor, anyone on this list, owe you anything, regardless of their profession.

If you read my email properly, I said

'If you do not want to answer specific questions on them -- that's your right'

Amarjit

----Original message----
>From : josh.m.ulrich at gmail.com
Date : 11/09/2014 - 17:48 (GMTST)
To : a.chandhial at btinternet.com
Cc : gyollin at r-programming.org, r-sig-finance at r-project.org
Subject : Re: [R-SIG-Finance] quantstrat - Guy Yollin blotter 2014 presentation

On Thu, Sep 11, 2014 at 11:41 AM, amarjit chandhial
<a.chandhial at btinternet.com> wrote:
> Guy,
>
>
> I am sorry you feel the way you do.
>
> If you are providing information via your slides and advertising them to be available on a public list, I think it is entirely reasonable for you to expect questions from it, especially given the job you're in: teaching.
>
> You say:
>
> " For specific questions about my slides, I'm sorry but they are provided without support.    Hopefully you understand these limitations."
>
> and
>
> " I do not have the time or resources to provide 1-on-1 support in this area "
>
>
> Well, if you do not want to answer specific questions on them -- that's your right.
>
>
> Rarely, if ever, in my experience has there been a lecturer worth their name not willing to answer questions on their work, especially if they are advertising them to be available publically as you are irregardless of your reasons of:
>
That implies Guy is "not worth his name", which is insulting.  He, nor
anyone on this list, owe you anything, regardless of their profession.

Many people here provide resources for free, without warranty.  You
have only demonstrated that you're willing to consume what is freely
given, and have not shown much effort in contributing back to the
community.  That is likely to make you very unpopular.

> "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.
>
>
>
> Regards,
> Amarjit
>
>
>
>
> ----Original message----
> >From : gyollin at r-programming.org
> Date : 11/09/2014 - 16:51 (GMTST)
> To : r-sig-finance at r-project.org
> Subject : Re: [R-SIG-Finance] quantstrat - Guy Yollin blotter 2014      presentation
>
> 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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>> -- Also note that this is not the r-help list where general R questions should go.
>
>
>         [[alternative HTML version deleted]]
>
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> -- Also note that this is not the r-help list where general R questions should go.
>
> _______________________________________________
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--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com