[R-SIG-Finance] Account object not updating. Ending Equity remains the same.

[Brian Aaron]

I am trying to implement a simple moving average strategy with rebalancing.

I have tried to follow the Guy Yollin tutorial as closely as possible.


I run the CheckBlotterUpdate function and get:


"portfolio P&L doesn't match account P&L"


A review of the ending equity in the account object shows that it has not been updated.


Codes is below.


Thank you for any feedback.


Brian Aaron

library(quantstrat)
library(blotter)

startdate <- "1995-08-18"
enddate <- "1999-01-01"
initDate <- "1995-08-17"

symbols <- c('SPY', 'MDY')

getSymbols(symbols,
           src="yahoo",
           from=startdate,
           to=enddate,
           index.class=c("POSIXt","POSIXct"),
           adjust=TRUE)


#Initial equity
initEq <- 1000000

currency("USD")
Sys.setenv(TZ="UTC")
stock(primary_id= symbols, currency="USD", multiplier=1)

strategy("simplemoving", store=TRUE)

add.indicator(strategy = "simplemoving",
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)),
                               n=50),
              label='firstsma')

add.indicator(strategy = "simplemoving",
              name = "SMA",
              arguments = list(x=quote(Cl(mktdata)),
                               n=200),
              label="secondsma")

#Add Buying Signal
add.signal(strategy="simplemoving",
           name="sigCrossover",
           arguments=list(columns=c("firstsma","secondsma"),
                          relationship="gt"),
           label="buysignal")

#Add Selling Signal
add.signal(strategy="simplemoving",
           name="sigCrossover",
           arguments=list(columns=c("firstsma","secondsma"),
                          relationship="lt"),
           label="sellsignal")

#Add Enter Rule
add.rule(strategy="simplemoving",
         name='ruleSignal',
         arguments=list(sigcol="buysignal",
                        sigval=TRUE,
                        orderqty=100000,
                        ordertype='market',
                        orderside='long',
                        osFUN='osMaxPos'),
         type='enter',
         path.dep=TRUE)

#Add Exit Rule
add.rule(strategy="simplemoving",
         name='ruleSignal',
         arguments=list(sigcol="sellsignal",
                        sigval=TRUE,
                        orderqty='all',
                        ordertype='market',
                        orderside='long',
                        pricemethod="market"),
         type='exit',
         path.dep=TRUE)

# add rebalancing
add.rule('simplemoving', 'rulePctEquity',
         arguments=list(rebalance_on='months',
                        trade.percent=1/length(symbols),
                        refprice=quote(
                            last(getPrice(mktdata)[paste('::',as.character(curIndex),sep='')][,1])
                        ),
                        digits=0
         ),
         type='rebalance',
         label='rebalance'
)

rm.strat(name="multisimplemoving")

initPortf(name="multisimplemoving",
          symbols = symbols,
          initDate=initDate)
initAcct(name="multisimplemoving",
         portfolios="multisimplemoving",
         initDate=initDate,
         initEq=initEq)
initOrders(portfolio="multisimplemoving",
           initDate=initDate)

#Add position limits
posval <- initEq/length(symbols)

for(symbol in symbols){
    pos<-round((posval/first(getPrice(get(symbol)))),-2)
    addPosLimit('multisimplemoving',symbol,initDate, maxpos=pos,minpos=-pos)
}

out <- applyStrategy.rebalancing(strategy='simplemoving',
                                 portfolios='multisimplemoving')

source("checkBlotterUpdate.R")
checkBlotterUpdate('multisimplemoving', 'multisimplemoving')

#Strategy Equity Curve
acct <- getAccount(Account="multisimplemoving")
print(acct$summary)





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