-I back tested a basket (long / short) strategy from 2007-07-01 to 2010-07-30 using TWO portfolios. -I created an account that holds the TWO portfolio's -I set the initEq = 100,000 (see attribute 'initEq' in the snippet output of getAccounts() below).
2010-07-27 0.00 34818.13 2010-07-28 0.00 34818.13 2010-07-29 0.00 34818.13 2010-07-30 0.00 34818.13 attr(,"currency") [1] "USD" attr(,"initEq") [1] 1e+05 attr(,"class") [1] "portfolio_account" "account" -The End equity is = 34818.13 after running updatePortf, updateAcct, and updateEndEq, > getEndEq(Account=account.st, Date='2010-07-31') [1] 34818.13 -However, the net P/L is positive, and you can see that in the output of tradeStats for each symbol in the basket (see file below). If you add the Net.Trading.PL.2 parameter for each symbol you get a total p/l = 34,818.13, which is equal to the End Equity. http://r.789695.n4.nabble.com/file/n3499089/tradeStats_output.txt tradeStats_output.txt -You can also see the equity curve as per the output of 'charts.PerformanceSummary' (see file below). charts.PerformanceSummary(ROC(getAccount(account.st)$summary$End.Eq)[-1], main="Basket Strategy Return") http://r.789695.n4.nabble.com/file/n3499089/BasketStrategyReturn.pdf BasketStrategyReturn.pdf For some reason it appears that the starting equity is = 0 instead of 100,000. Perhaps I have missed a step that is required to set the initEq = 100,000. I created the account with argument initEq = 100000. > initEq [1] 1e+05 initAcct(account.st, portfolios=allportfolios, initDate=initDate, initEq=initEq) Appreciate some guidance. -- View this message in context: http://r.789695.n4.nabble.com/EndEquity-lower-than-initEq-despite-positive-p-l-tp3499089p3499089.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
