You don't actually include how you're calculating txnfees, and your
example is not reproducible, so I'm forced to guess.
try
return(as.numeric(res))
in your function.
As noted in the documentation, txnFees can be a string name of a
function, so forcing it to as.numeric is a really bad idea.
I'll also note that you don't need to call updatePortf every time.
That's extremely expensive by comparison to just adding up the realized
P&L (from closed transaction) and Unrealized P&L (from your open
position) yourself. You should also be aware that this approach (or
yours) will only capture equity changes in a single instrument (since
instruments are processed one at a time).
Most literature on evaluating trading strategies (see e.g. Aronson or
Tomasini and Jaekle) tends to do system design on fixed trade sizes
because it is much easier to evaluate whether or not your system really
has any edge, or is just participating in market drift. I tend to
separate the order sizing decisions till very late in the strategy
development process.
Regards,
Brian
On 01/13/2014 07:15 PM, Ivan Popivanov wrote:
It only happens when I use a custom function to compute the position size,
but it won't happen with a constant size. So it may have something to do
with the splitting of orders. My function uses all available equity
rounding up - it's at the end. I get the following error:
Error in `/.default`(TxnFees, abs(TxnQty)) :
non-numeric argument to binary operator
It seems that the fault is in ruleOrderProc, the caller of addTxn,
whereabouts txnfees is indeed an xts object. To me the fix is to pass
as.numeric(txnfees) to addTxn.
Regards,
Ivan
PS: Is my osAllEquity a good way to implement the compounding growth or is
there a better alternative? I think it's worth having an example to
illustrate this functionality.
osAllEquity = function(
timestamp,
orderqty,
portfolio.name,
symbol,
...)
{
verbose = TRUE
# verbose = FALSE
if(verbose) cat("\n=====")
if(verbose) cat(paste( "\n", timestamp, sep=""))
if(verbose) cat(paste( "\n orderqty=", orderqty, sep=""))
portfolio = updatePortf(Portfolio=portfolio.name, Dates=paste('::',
as.Date(timestamp), sep=''))
# end.eq = getEndEq(portfolio.name, as.Date(timestamp))
# print( end.eq )
pnl = sum(getPortfolio(portfolio.name)$summary$Net.Trading.PL)
end.eq = initEq + pnl
if(verbose) cat(paste( "\n pnl=", pnl, sep=""))
if(verbose) cat(paste( "\n equity=", end.eq, sep=""))
close.price = as.numeric(Cl(mktdata[timestamp,]))
if(verbose) cat(paste("\n close price=", close.price, sep=""))
res = as.numeric( ceiling( end.eq / close.price ) ) * sign( orderqty )
if(verbose) cat(paste("\n qty=", res, sep=""))
if(verbose) cat("\n=====\n")
# return(sign(orderqty*1000))
# res = 1000*sign(orderqty)
return(res)
}
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Brian G. Peterson
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Ph: 773-459-4973
IM: bgpbraverock
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