[R-SIG-Finance] tradeStats - Avg.Daily.PL/Med.Daily.PL question

[Brian G. Peterson]

Mark,

tradeStats does exactly what it says it is doing.  It gives you the 
number mean or median P&L for days on which you have trading P&L from 
(Net.Txn.Realized.PL).  So, on days in which you realize a gain or loss 
of any sort, (position gets closer to zero), they will be counted for 
the mean daily number in tradeStats.

dailyStats uses days with non=-zero P&L, which isn't quite right, but 
should be much closer to what you're looking for. (it requires a change 
in price or position, so that the mark will differ).  The potential 
error here is if you have days of marked P&L that have no change, e.g. 
days on which you are flat.  I'm not sure it makes sense to count these 
days most of the time anyway, but it is a difference worth describing.

Regards,

Brian

On 09/25/2014 12:47 PM, Mark Knecht wrote:
> Hi,
>     The help file for tradeStats asks for feedback so here I am.
> Reproducible code is the macd.Rebalancing.R demo file with the symbol
> changed to "SPY" and these lines added at the end:
>
> oB = getOrders(portfolio.st, "SPY", status="closed")
> tS = t(tradeStats(portfolio.st))
> pTS = perTradeStats(portfolio.st, "SPY")
>
>     The tradeStats function works correctly (as best I can tell) for
> most values but I'm thinking either I don't understand the
> Avg.Daily.PL value or there's a bug. Every time I run the function
> Avg.Daily.PL & Med.Daily.PL is always equal to Avg.Trade.PL &
> Med.Trade.PL respectively. (NOTE: I'm using daily & weekly data only.)
>
>     From the help file I'm not exactly sure what this is intended to mean:
>
> Avg.Daily.PL - mean daily realized P&L on days there were
> transactions, see dailyStats for all days
>
>     Is this supposed to be the total trading profit divided by the
> number of days in trades, or the total profit divided by the number of
> days from the first entry to the last exit, or something else?
>
>     The code from quantstrat-0.8.2 that's involved seems to be this:
>
> PL.ne0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL != 0]
>
> DailyPL <- apply.daily(PL.ne0, sum)
> AvgDailyPL <- mean(DailyPL)
> MedDailyPL <- median(DailyPL)
>
> and
>
> AvgTradePL <- mean(PL.ne0)
> MedTradePL <- median(PL.ne0
>
>     If the intention is to say something about how much money the
> strategy makes "per day" then I don't see anything that tallies the
> number of days in the simulation run. I got a simplified version of
> that using:
>
> pTS = perTradeStats(portfolio.st, "SPY")
> last(pTS$End)-first(pTS$Start)
> Time difference of 2729 days
>
> but I'm sure there are easier/better ways.
>
>     Anyway, is it working correctly, or if not has it been fixed in a
> more recent version of quantstrat?
>
> Thanks,
> Mark
>
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock