Forum: help

RE: PortfReturn Calculation [ Reply ]
By: Brian Peterson on 2016-08-14 10:38

You're using Dates incorrectly, as I replied in a different thread. It should be an xts range.

If I run the update* functions without a Date argument, your example actually runs, bringing us to the current day.

I have the same tail as your example. let's examine the result:

last(cumsum(PortfReturns('TEST'))
#2016-08-12 0.33454252

tail(MMM,1)
# MMM.Open MMM.High MMM.Low MMM.Close MMM.Volume MMM.Adjusted
#2016-08-12 181.47 181.47 179.9 180.27 1229200 180.27

getTxns('TEST','MMM')
# Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
#1950-01-01 0 0.00 0 0 0.00 0
#2014-10-16 100 135.08 0 13508 135.08 0

last(cumsum(PortfReturns('TEST')))
# MMM.DailyEndEq
#2016-08-12 0.3345425

180.27/135.08
#[1] 1.334542

Perfectly correct.

Regards,

Brian

PortfReturn Calculation [ Reply ]
By: John Smith on 2016-08-12 16:29

[forum:43423]

I am getting an incorrect return calculation when I run PortfReturn. I assume I may be missing something. See below for the code and also output.

Please advise. Thank you.

------------

getSymbols("MMM", index.class="POSIXct")
strategy <- "TEST"

currency("USD")

stock("MMM",currency="USD", multiplier=1)

initPortf(strategy, c("MMM") )
initAcct(strategy, portfolios=strategy,initEq=13508)

addTxn(strategy,"MMM",as.POSIXct("10-16-14", format="%m-%d-%y"),100,135.08)

asOf <- as.POSIXct("08-11-16", format="%m-%d-%y")
updatePortf(strategy,Dates=asOf)
updateAcct(strategy,Dates=asOf)
updateEndEq(strategy,Dates=asOf)

PortfReturns("TEST", period="Daily")

> MMM
>1950-01-01 0.00000000
>2016-08-11 0.01613853

> tail(MMM,1)
MMM.Open MMM.High MMM.Low MMM.Close MMM.Volume MMM.Adjusted
2016-08-11 179.08 181.1 178.88 181 2028700 181