Bug in ruleOrderProc - txnfees is not a numeric?

Ivan,

Thanks for the reproducible example.  We'll investigate.

Brian

On 01/14/2014 09:28 AM, Ivan Popivanov wrote:

Hi Brian,

return(as.numeric(res)) - same thing, I tried it before posting here.
There is no problem if I use return(100*sign(orderqty)), which indicates
the path dependency I was trying to imply. The problem doesn't seem to
occur for long only positions - it gotta be switching. I believe, the
problem is outside os.all.equity. Notice, it has a lot of debug output
and it clearly indicates that the function returns, and returns a
numeric before the problem is hit. For me it's easy to repro it
(although it takes longer) with the attached script (it needs some
adjustments). The problem is hit for 2001-04-08. I don't touch txnFees
anywhere in my code, so I have no control over this behaviour - it needs
to be type casted somewhere - from what you are saying - taking the type
into account.

Thanks for the comments about the testing.

Can you point me to code which computes the portfolio size as you
suggested?

 From my experience, it's often needed to be able to show the strategy
performance over years, with all the system on. That's an area quanstrat
lacks - both in terms of examples and testing (I am pretty sure this is
a regression since the last time I looked at it).

Thanks,
Ivan




On Tue, Jan 14, 2014 at 9:26 AM, Brian G. Peterson <brian at braverock.com
<mailto:brian at braverock.com>> wrote:

    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 <http://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=portfoli__o.name
        <http://portfolio.name>, Dates=paste('::',
        as.Date(timestamp), sep=''))
             # end.eq = getEndEq(portfolio.name <http://portfolio.name>,
        as.Date(timestamp))
             # print( end.eq )
             pnl = sum(getPortfolio(portfolio.__name
        <http://portfolio.name>)$summary$Net.Trading.PL
        <http://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)
        }

                 [[alternative HTML version deleted]]

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock