[R-SIG-Finance] blotter updatePortf

[Michael Chen]

Hi,

So, in running my custom strategy using blotter, I ran into this problem.  I'll describle the problem first before I give the simplified code to save some trouble and time for all.    I  ran  updatePortf(strategy, symbols, Dates=tradeDate), updpateAcct, and updateEndEq after each weekly transactions (addTxn).    Data is also in weekly format.  I also ran my program entirely first, then ran updatePortf(Strategy) at end.     The codes is otherwise the same.  The two runs have differene Equity curves and  performance analystics results.    Since in both runs, the trades(transactions) are the same, shouldn't the equity curve and performance results the same?    Thanks for any general suggestions and advice that I can try to fix this first.   If not, I will provide data and simplified code.

thank you all again,

Michael
________________________________
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Wednesday, November 9, 2016 3:13 AM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] blotter updatePortf

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

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