[R-SIG-Finance] incorrectly storing results from `blotter` when using `foreach`

[Brian G. Peterson]

See lines 524-533 and 412-451 in file paramsets.R in quantstrat.

You need to explicitly pass back and store anything you want to get out 
of the foreach loop.  Your foreach loop is using rbind, so you're 
probably getting nothing at all in the return from the foreach, or 
possibly a vector of account names.

addTxn is fast.  There will likely be little gain from using foreach. 
You'd have more luck with a simple strategy by creating an xts object 
suitable for passing to addTxns (plural)

Regards,

Brian

On 11/17/2014 06:22 AM, Nick White wrote:
> Hi all,
>
> I've been messing around with using foreach loops to speed up blotter a
> bit...but I can't seem to get the results to store after I run the parallel
> job.
>
> Using Guy Yollin's blotter for-loop example (at
> http://www.r-programming.org/files/blotter.pdf)
>
> I convert the for-loop to a foreach-loop using the following code (marked
> between 3 #'s):
>
> ====================================================
>
> ### My changes to Guy's for-loop code:
>
> foreach( i = 1:nrow(SPY),.combine=rbind, .packages=c('xts','blotter') )
> %dopar%
> {
>
> ### Rest of the code as usual...
>
>    # update values for this date
>
>    CurrentDate <- time(SPY)[i]
>
>    equity = getEndEq(b.strategy, CurrentDate)
>
>    ClosePrice <- as.numeric(Cl(SPY[i,]))
>
>    Posn <- getPosQty(b.strategy, Symbol='SPY', Date=CurrentDate)
>
>    UnitSize = as.numeric(trunc(equity/ClosePrice))
>
>    MA <- as.numeric(SPY[i,'SMA10m'])
>
>    # change market position if necessary
>
>    if( !is.na(MA) ) # if the moving average has begun
>
>    {
>
>      if( Posn == 0 ) { # No position, test to go Long
>
>        if( ClosePrice > MA ) {
>
>          # enter long position
>
>          addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,
>
>            TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0) }
>
>      } else { # Have a position, so check exit
>
>        if( ClosePrice < MA ) {
>
>          # exit position
>
>          addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,
>
>            TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0)
>
>        } else {
>
>          if( i==nrow(SPY) ) # exit on last day
>
>            addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,
>
>              TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0)
>
>        }
>
>      }
>
>    }
>
>    updatePortf(b.strategy,Dates=CurrentDate)
>
>    updateAcct(b.strategy,Dates=CurrentDate)
>
>    updateEndEq(b.strategy,CurrentDate)
>
> }
> ====================================================
>
> On a linux box using `htop` I can see the job execute across each processor
> but then running something like
>
> `chart.Posn(b.strategy,"SPY")`
>
> which when, say, charting the position spits the error:
>
> Error in chart.Posn(b.strategy, "SPY") :
>    no transactions/positions to chart
>
>
> So, obviously I'm not reconstituting the results correctly after the
> foreach loop runs...i've tried a few different calls but without much luck.
>
> Any pointers as to where I'm going wrong?
>
> 	[[alternative HTML version deleted]]
>
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock