quantstrat executes trades that are more worth than total equity
On Thu, 2012-02-16 at 09:23 -0800, Sergey Pisarenko wrote:
Hi R programmers, I am seeing strange behavior with quanstrat transactions. The problem is that it triggers orders that are larger than the total equity. For example, if I create an account with initial equity of 100 000 I see that rules that exceed the total equity are still executed and reported. Is this the intended behavior? Do I need to write my own sizing function which will take care of this?
Yes. Most institutional and many personal trading accounts use leverage. See Guy Yollin's UW lecture slides for an example of equity-aware order sizing rules. Your order sizing function will likely be different, of course. When I get a chance I will try to add more information to the documentation to make this more clear.
I have attached the whole runnable sample script to this e-mail. I have removed all the code which is not relevant to the issue.
THANK YOU for providing reproducible code. It makes the task of understanding a questions, debugging a problem, and communicating from the same position so much easier. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock