[R-SIG-Finance] blotter updatePortf

[Brian G. Peterson]

On 11/09/2016 12:41 AM, Michael Chen wrote:
> Reading these answers reminded me to inquire the same about
> Quantstrat.  I looked into the code for applyStrategy, I don't see
> any explicit calls to updatePort.  Is this because in my runs of
> quanstrat, I didn't use "real time" re-balancing? So, no update was
> necessary?  Usually, l  just run updatePortf (strategy) which
> updates every symbol and calculates PnL for each period prices
> available after I ran applyStrategy in quantstrat.   Please let me
> know if I am missing something.

updatePortf will be called automatically in quantstrat for rebalancing,
for paramsets, and for walk.forward. It will only be called by the
default applyStrategy call if wrapup=TRUE and you're using the
(experimental, incomplete?) wrapup code.

Regards,

Brian

> on Sunday, November 6, 2016 11:15 AM, Brian G. Peterson wrote:
> On 11/06/2016 12:10 PM, Cameron McLean wrote:
>> Is there example code you can share or an existing demo in
>> quantstrat that shows how to update the portfolio equity curve and
>> size future orders based on the current amount?
>
> Look at any of the rebalancing demos.  There are rebalancing
> versions of the Faber and macd demos, at least.
>
> These rebalance (adjust max trade size) periodically based on current
> portfolio equity.
>
>> A simple example would be something similar to the faber demo
>> where he invests 20% of equity in each of the 5 asset classes
>> (currently the faber demo buys and sells lots of 500 shares) or a
>> more complex example could be using a indicator such as ATR to
>> size trades based on risk.
>
> Sizing based on risk would be done via a custom order sizing function
> that used the indicator value to adjust trade size.  I believe Ilya
> has examples of this on his blog.
>
> Regards,
>
> Brian