[R-SIG-Finance] Guy Yollin's blotter.pdf Example

[Guy Yollin]

Stergios,

Clearly this example is largely based off of the longtrend demo in blotter.

As you noted, the equity  position is retreived at the top of the loop 
and this requires the updates at the bottom of the loop.

I believe that you probably could refactor the loop so that you only 
call the update functions if you've just had a cross-over so that a 
position change may need to be made; in this case I believe you're date 
range would be "::CurrentDate"

G


On 9/16/2014 9:52 AM, stergios marinopoulos wrote:
> In Guy Yollin's blotter.pdf slide there's an example on page 30 about which
> I have a question.
>
> The example is a loop over each period of data where the trading rules are
> applied.  At the very end of the loop the three blotter functions named
> updatePortf(), updateAcct(), and updateEndEq() are called.  Here it is
> briefly:
>
> for( i in 1:nrow(SPY) ) {
>
>      // Trading Rules Omitted
>
>      updatePortf(b.strategy,Dates=CurrentDate)
>      updateAcct(b.strategy,Dates=CurrentDate)
>      updateEndEq(b.strategy,CurrentDate)
>
> }
>
>
> My question is "could we hoist those last 3 functions out of the loop, and
> place them afterwards with an expanded date range to cover all dates?"
>   Doing so dramatically speeds up processing.  A downside to doing so is not
> having the current equity available for use in trade sizing.  Of course,
> there may be a loss of clarity in the example as well.  Are there other
> important reasons for keeping the functions inside the loop?
>
> Perhaps those functions could be called inside the loop only when a
> position is closed out, or when rebalancing needs to occur?
>
> Thanks for your thoughts on the matter.
>
> --
> sm
> Stergios Marinopoulos
>
> 	[[alternative HTML version deleted]]
>
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