[R-SIG-Finance] blotter updatePortf

[Brian G. Peterson]

Without a minimal reproducible example, I'm just guessing.

I would hope that what you really mean is that you are using daily data, 
since daily data is widely available. Even if you plan to trade only 
once a week (Monday, Friday, Wednesday, whatever) I would certainly want 
more data points to check risk and other metrics against. In any event, 
without more information, I would assume a subsetting problem.

The first thing I would check is that in your periodic runs of 
updatePortf, you should not be using a date range. Differences are most 
likely due to incorrect subsetting with your 'weekly' data.  You say 
below that you are calling something like:

updatePortf(strategy, symbols, Dates=tradeDate)

just call

updatePortf(strategy, symbols)

instead.

If my guess is correct, forcing the  subset is not providing the 
'starting' values to calculate the difference on your 'tradeDate' period 
from.

Regards,

Brian

On 11/11/2016 04:04 AM, Michael Chen wrote:
>
> 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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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock