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

[stergios marinopoulos]

Thanks for the feedback Guy & Brian.

--
sm
Stergios Marinopoulos

On Tue, Sep 16, 2014 at 12:25 PM, Brian G. Peterson <brian at braverock.com>
wrote:

>
>
> On 09/16/2014 11:52 AM, stergios marinopoulos wrote:
>
>> 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?
>>
>
> Only to update portfolio equity.
>
> It is also possible to approximate by taking the last mark plus any
> realized gains plus the mark to market difference in any open position.
>
>  Perhaps those functions could be called inside the loop only when a
>> position is closed out, or when rebalancing needs to occur?
>>
>
> Correct.
>
> blotter isn't really designed for writing trading strategies.  It is
> designed to do portfolio accounting.  We use it mostly as either a backend
> behind quantstrat (which is designed for strategy backtests) or for
> post-trade analysis on production trades.
>
> In the first case (backtesting), performance is obviously important, so
> you would want to minimize how often you call the update* functions,
> perhaps using secondary calculations instead of marking the entire
> portfolio. There's no point in marking the portfolio every tick, or every
> second, even if you only call it once at the end.  We often mark the
> portfolio hourly, even if we ran a backtest on tick.
>
> In the post-trade analysis case, you would typically call the update*
> functions only once, at the end, and performance is not really an issue,
> because even a giant portfolio across very long periods of time takes only
> seconds to mark.
>
> Regards,
>
> Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>
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