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2010 Mar 29
0
Question on entry exit tabulating in any R finance package
...cumentation beyond:
http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/*checkout*/pkg/inst/doc/tradesys.pdf?rev=19&root=tradesys
And unfortunately, the definitions are a bit sparse and I had trouble
reverse engineering them.
For instance, in the table on page 3:
Phase ETime XTime Time Numb EPrice XPrice PnL RoR
107 EL 2006-09-21 2007-09-12 356 244 1324.89 1471.10 146.21 0.264117052
Pnl Makes sense (1471.10-1324.89 )= 146.21, but, I would expect ROR to be
~1471.1/1324.89-1 ~ 11.03%, yet RoR col shows 26.411%
I also looked at blotter, which shows an example that is long only and seems
a bi...