Okay - here is a bogus strategy just to test this - http://r.789695.n4.nabble.com/file/n3500326/bogusStrategy.R bogusStrategy.R
a) portfolio_1 = IBM, UTX, CAT b) portfolio_2 = MSFT Indicators = 10 DSMA, 15 DSMA, 20 DSMA Rules a) if 10_DSMA Crosses Above 20_DSMA BUY stocks in portfolio_1 AND COVER existing SHORTS in portfolio_1 b) if 10_DSMA Crosses Below 20_DSMA SELL existing long positions in portfolio_1 AND SHORT all stocks in portfolio_1 c) if 15_DSMA Crosses Above 20_DSMA BUY stocks in portfolio_2 AND COVER existing SHORTS in portfolio_2 d) if 15_DSMA Crosses Below 20_DSMA SELL existing long positions in portfolio_2 AND SHORT all stocks in portfolio_2 Once you have updated the portfolios and accounts type the following: > getAccounts(account.st) Look at the 'End.Eq' column (this is the last column). You will see that the portfolio begins with 0 as the initial value and each day's p/l is added to 0 until the last day. 2010-07-02 -989.49 85836.10 Maybe I am misunderstanding something but it appears to me that the p/l of this strategy = 85836.10 and so that amount should be added to the initEq. In my real strategy I know the p/l is ~34800, which should be added to the initEq. -- View this message in context: http://r.789695.n4.nabble.com/EndEquity-lower-than-initEq-despite-positive-p-l-tp3499089p3500326.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.
