blotter updatePortf
On Sat, Nov 5, 2016 at 10:51 AM, Michael Chen <mwc4120 at hotmail.com> wrote:
I have found in running my own customized strategy using blotter and updatePortf that whether I call updatePortf after completely applying my strategy/transactions or call updatePortf at regular intervals like weekly or monthly after each period's transactions, the performance statistics are the same. So, is there a reason that I should updatePortf regularly during a run or just wait till the end? I am puzzled.
Calling updatePortf marks your portfolio to market. I assume (since you didn't specify in your message) that your transaction sizing is invariant to portfolio equity. In that case, you should not expect calling updatePortf to change strategy performance. In short, if your strategy doesn't depend on your portfolio market value, there's no need to call updatePortf until the end of the simulation.
Thanks, Michael
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Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2016 | www.rinfinance.com