Hi all,

I would appreciate if someone could give me some feedback on the following
problem.

I am trying to estimate the P&L of a strategy based on the trade entries.
as you will see in the data below the entries are indicated by 0,1,-1 and
they are suppose to be active until the next position follows.
the object is xts and my difficulty is updating the vector between the
trades. as an example between 05-15 and 05-29 the series should have been
-1.

i am using an excel like macro command  to achieve this

perfdata$trade[2:n]<-ifelse(is.na
(perfdata$trade[2:n]),perfdata$trade[1:n-1],perfdata$trade[2:n])

however i have noticed that the command will update only one element after
a !=NA which i guess is using the data on the memory and not the updated
one.

is there are any other way to write the command without using a for loop?

also, i have read about the blotter package and quant strat but it seems
that they are still under heavy development. Are there any other libraries
to run trading strategies?

Thank you in advance,

Nikos


              CL trade
1990-04-27 18.54    NA
1990-04-30 18.54    NA
1990-05-01 18.88    NA
1990-05-02 18.68    NA
1990-05-03 17.99    NA
1990-05-04 17.98    NA
1990-05-07 18.27    NA
1990-05-08 18.28    NA
1990-05-09 18.99    NA
1990-05-10 19.02    NA
1990-05-11 18.95    NA
1990-05-14 19.71    NA
1990-05-15 19.59    -1
1990-05-16 19.03    NA
1990-05-17 18.87    NA
1990-05-18 18.76    NA
1990-05-21 18.26    NA
1990-05-22 17.68    NA
1990-05-23 18.14    NA
1990-05-24 17.83    NA
1990-05-25 17.80    NA
1990-05-29 17.98    -1
1990-05-30 18.08    NA
1990-05-31 17.40    NA
1990-06-01 17.50    NA
1990-06-04 17.14    NA
1990-06-05 16.68    NA
1990-06-06 16.92    NA
1990-06-07 16.67     0
1990-06-08 16.78    NA
1990-06-11 16.82    NA
1990-06-12 17.51     1
1990-06-13 17.58    NA
1990-06-14 17.13    NA

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