hello, I am trying to port a strategie from Tradestation to R, and I bump into what seems to me to be a problem (?). In the screenshot attached you can see that on June 21st I reverse a position from short to long (I buy 2 shares to cancel the short and be long) at 111.41, at the close. So I'm long and bought at 111.41 On July 7th, I reverse again, selling at 106.11. I expect my transaction to be a loss of 106.11-111.41=-5.30 (Gross Transaction Realized PL) This seems to happen only when testing a Stop And Reverse system, if I test a long only or exit a position before taking the opposite, then it seems to work (but I could not complete the test because of a lack of computer memory)? So my question is : is this normal behavior ? am I using it incorrectly ? (I tried to look at the code but could not figure what was wrong, the data are SPY from Yahoo) Thank you for your help -------------- next part -------------- A non-text attachment was scrubbed... Name: R blotter - GrossTradinPL.PNG Type: image/png Size: 157081 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20100909/0c852e4b/attachment.png> -------------- next part -------------- A non-text attachment was scrubbed... Name: flaborderie.vcf Type: text/x-vcard Size: 217 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20100909/0c852e4b/attachment.vcf>
Blotter : pbm with P&L calculation
3 messages · Frédéric LABORDERIE, Brian G. Peterson
On 09/09/2010 08:21 AM, Fr?d?ric LABORDERIE wrote:
hello, I am trying to port a strategie from Tradestation to R, and I bump into what seems to me to be a problem (?). In the screenshot attached you can see that on June 21st I reverse a position from short to long (I buy 2 shares to cancel the short and be long) at 111.41, at the close. So I'm long and bought at 111.41 On July 7th, I reverse again, selling at 106.11. I expect my transaction to be a loss of 106.11-111.41=-5.30 (Gross Transaction Realized PL) This seems to happen only when testing a Stop And Reverse system, if I test a long only or exit a position before taking the opposite, then it seems to work (but I could not complete the test because of a lack of computer memory)? So my question is : is this normal behavior ? am I using it incorrectly ? (I tried to look at the code but could not figure what was wrong, the data are SPY from Yahoo) Thank you for your help
It would be helpful if you provided a reproducible example, so that we can help you debug the problem. I've just committed a new file to the project that should aid you (or anyone else) in creating reproducible examples. The function is 'extractTxns', and may be found here: https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/blotter/R/extractTests.R?root=blotter With the associated calls for setup of the portfolio, and downloading data from somewhere, this would even allow us to create a test, if warranted. I suspect that you are crossing directly through a zero position. In this case you will likely encounter problems. It is generally a good idea to close a position before initiating a new position on the other side of the market. Many prime brokers in fact require this, or split transactions in the transaction log to create the same effect. The coding necessary to detect this crossover of a zero position and separate the transaction P&L, from experience, is rather painful, and I don't know how to vectorize it for performance. With a reproducible example I'd be happy to work through it, and if necessary, work on fixing any problem or providing a workaround. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
Hello Brian, Thank you for your very prompt answer. I will look at your function, and use it in the future. But you have answered my question already, as indeed I am going straight from long to short or vice versa (my broker, IB, allows it). I will split the order as you said, first close the current position, then enter the opposite one. It is working fine, I already tried. Thank you also for all the effort you and others put into blotter and associated packages, it is very powerful / time saving, and I'm learning a lot from reading the code (I'm an R newbie).
Brian G. Peterson wrote:
On 09/09/2010 08:21 AM, Fr?d?ric LABORDERIE wrote:
hello, I am trying to port a strategie from Tradestation to R, and I bump into what seems to me to be a problem (?). In the screenshot attached you can see that on June 21st I reverse a position from short to long (I buy 2 shares to cancel the short and be long) at 111.41, at the close. So I'm long and bought at 111.41 On July 7th, I reverse again, selling at 106.11. I expect my transaction to be a loss of 106.11-111.41=-5.30 (Gross Transaction Realized PL) This seems to happen only when testing a Stop And Reverse system, if I test a long only or exit a position before taking the opposite, then it seems to work (but I could not complete the test because of a lack of computer memory)? So my question is : is this normal behavior ? am I using it incorrectly ? (I tried to look at the code but could not figure what was wrong, the data are SPY from Yahoo) Thank you for your help
It would be helpful if you provided a reproducible example, so that we can help you debug the problem. I've just committed a new file to the project that should aid you (or anyone else) in creating reproducible examples. The function is 'extractTxns', and may be found here: https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/blotter/R/extractTests.R?root=blotter With the associated calls for setup of the portfolio, and downloading data from somewhere, this would even allow us to create a test, if warranted. I suspect that you are crossing directly through a zero position. In this case you will likely encounter problems. It is generally a good idea to close a position before initiating a new position on the other side of the market. Many prime brokers in fact require this, or split transactions in the transaction log to create the same effect. The coding necessary to detect this crossover of a zero position and separate the transaction P&L, from experience, is rather painful, and I don't know how to vectorize it for performance. With a reproducible example I'd be happy to work through it, and if necessary, work on fixing any problem or providing a workaround. Regards, - Brian
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