Hi List!
I am interested in plotting my portfolio's performance and don't exactly
know how to do it. I have built a (not-so-great) model - the data below is
found below. I used information on each individual S&P 500 stock over the
past ~10 years (RSI, moving averages, price changes, and price). Selling
the stock occurs when a stop loss or take profit is signaled. The model was
built without using the blotter or quantstrat packages - it was built with a
which function. The code is quite long. However, if you think it will be
helpful, I can always attach it. I would like inital equity to be $100000,
and I would like to invest $25000 per buy signal. I hope this is clear
enough. If not, please let me know!
Thanks!
Anna
BuyDate Equity BuyPrice Action SellDate SellPrice
PerformancePerc.
51 2001-07-02 FCX.UN.Equity 5.3600 LONG 2001-07-11 5.9450
0.10914179
122 2001-07-02 TIE.UN.Equity 2.2875 LONG 2001-07-17 2.6050
0.13879781
82 2001-07-13 L.UN.Equity 19.2867 LONG 2001-07-20 18.2667
-0.05288619
100 2001-09-06 PCLN.UW.Equity 29.7000 LONG 2001-09-17 18.0600
-0.39191919
98 2001-09-17 ORLY.UW.Equity 12.0000 LONG 2001-09-19 13.2450
0.10375000
73 2001-09-18 JCP.UN.Equity 20.5800 LONG 2001-09-21 18.8600
-0.08357629
32 2001-09-19 BBY.UN.Equity 21.9378 LONG 2001-09-20 20.2044
-0.07901430
57 2002-04-05 FFIV.UW.Equity 8.4200 LONG 2002-04-10 7.8945
-0.06241093
133 2002-05-06 WDC.UN.Equity 5.1000 LONG 2002-05-07 4.1800
-0.18039216
134 2002-06-25 WFR.UN.Equity 4.7500 LONG 2002-07-03 4.2400
-0.10736842
93 2002-06-27 OI.UN.Equity 14.0500 LONG 2002-07-02 12.8500
-0.08540925
29 2002-07-01 AMZN.UW.Equity 13.5500 LONG 2002-07-05 15.2100
0.12250923
95 2002-07-01 OI.UN.Equity 13.6000 LONG 2002-07-02 12.8500
-0.05514706
35 2002-07-19 CLF.UN.Equity 2.7875 LONG 2002-07-22 3.1550
0.13183857
33 2002-07-23 BIG.UN.Equity 14.4100 LONG 2002-07-25 16.0600
0.11450382
48 2002-10-07 CTSH.UW.Equity 4.0000 LONG 2002-10-09 4.4125
0.10312500
115 2003-07-21 STJ.UN.Equity 24.4450 LONG 2003-07-29 27.1550
0.11086112
106 2003-08-06 PWR.UN.Equity 4.6600 LONG 2003-08-11 5.1900
0.11373391
87 2003-08-08 NVDA.UW.Equity 5.1633 LONG 2003-08-19 5.9500
0.15236380
21 2003-10-01 ALTR.UW.Equity 17.9000 LONG 2003-10-28 19.8900
0.11117318
71 2003-11-05 IVZ.UN.Equity 13.9800 LONG 2003-12-08 13.0600
-0.06580830
105 2003-11-05 PCLN.UW.Equity 21.6400 LONG 2003-11-11 19.6500
-0.09195933
113 2003-12-16 SNDK.UW.Equity 27.6250 LONG 2003-12-19 30.4450
0.10208145
132 2004-04-14 VTR.UN.Equity 21.9000 LONG 2004-07-06 24.5000
0.11872146
67 2004-04-29 FRX.UN.Equity 63.9900 LONG 2004-05-21 59.2000
-0.07485545
138 2004-04-29 X.UN.Equity 29.4500 LONG 2004-05-03 27.8400
-0.05466893
36 2004-04-30 CLF.UN.Equity 5.9225 LONG 2004-05-06 5.4825
-0.07429295
37 2004-05-03 CLF.UN.Equity 5.7838 LONG 2004-05-06 5.4825
-0.05209378
7 2004-05-06 AKS.UN.Equity 4.4100 LONG 2004-05-07 4.1600
-0.05668934
68 2004-05-10 FRX.UN.Equity 62.9600 LONG 2004-05-21 59.2000
-0.05972046
120 2004-06-16 SYMC.UW.Equity 20.3850 LONG 2004-07-27 22.4550
0.10154525
31 2004-10-19 ATI.UN.Equity 14.6100 LONG 2004-10-20 16.2800
0.11430527
23 2005-01-13 AMD.UN.Equity 15.1600 LONG 2005-02-04 17.4900
0.15369393
14 2005-03-28 AKS.UN.Equity 11.2900 LONG 2005-03-29 10.6800
-0.05403012
1 2005-04-11 ADM.UN.Equity 21.3200 LONG 2005-04-18 20.2300
-0.05112570
140 2005-04-13 X.UN.Equity 46.5000 LONG 2005-04-15 42.9100
-0.07720430
61 2005-04-15 FFIV.UW.Equity 22.0850 LONG 2005-04-28 20.8750
-0.05478832
137 2005-04-15 WFR.UN.Equity 11.2300 LONG 2005-04-21 12.4500
0.10863758
3 2005-05-12 AES.UN.Equity 14.3900 LONG 2005-06-17 15.8400
0.10076442
84 2005-10-27 LSI.UN.Equity 7.7000 LONG 2005-12-01 8.8900
0.15454545
45 2005-11-10 CNX.UN.Equity 27.0600 LONG 2005-11-17 29.9000
0.10495196
49 2006-04-27 ESRX.UW.Equity 19.1225 LONG 2006-05-09 18.1050
-0.05320957
75 2006-05-12 JDSU.UW.Equity 23.3600 LONG 2006-05-15 22.0800
-0.05479452
34 2006-05-15 BRCM.UW.Equity 36.3500 LONG 2006-05-22 34.3400
-0.05529574
89 2006-05-30 NVDA.UW.Equity 15.3133 LONG 2006-06-07 14.5467
-0.05006106
91 2006-06-06 NVDA.UW.Equity 14.8133 LONG 2006-06-12 13.4467
-0.09225493
66 2006-06-13 FLS.UN.Equity 48.7900 LONG 2006-06-29 53.8000
0.10268498
5 2007-03-02 AKAM.UW.Equity 47.7800 LONG 2007-03-12 52.5800
0.10046044
128 2007-07-26 TSO.UN.Equity 49.4300 LONG 2007-08-03 45.4200
-0.08112482
143 2007-07-27 X.UN.Equity 97.7300 LONG 2007-08-03 91.5300
-0.06344009
44 2007-08-01 CLF.UN.Equity 33.6150 LONG 2007-08-09 31.5600
-0.06113342
108 2007-08-03 PWR.UN.Equity 26.3500 LONG 2007-08-14 25.0100
-0.05085389
17 2008-07-03 AKS.UN.Equity 52.7900 LONG 2008-07-17 48.2400
-0.08619057
46 2008-07-23 COG.UN.Equity 46.9400 LONG 2008-07-29 44.1200
-0.06007669
119 2008-07-24 SWN.UN.Equity 32.9800 LONG 2008-07-31 36.3100
0.10097029
111 2009-08-10 S.UN.Equity 3.7100 LONG 2009-09-02 3.5200
-0.05121294
116 2009-10-26 STT.UN.Equity 44.5000 LONG 2009-10-30 41.9800
-0.05662921
144 2009-10-27 X.UN.Equity 37.4100 LONG 2009-10-28 35.5300
-0.05025394
81 2009-10-28 JDSU.UW.Equity 5.8100 LONG 2009-11-06 6.4600
0.11187608
56 2010-01-27 FCX.UN.Equity 35.6250 LONG 2010-01-29 33.3450
-0.06400000
70 2010-01-29 IP.UN.Equity 22.9100 LONG 2010-03-05 25.3500
0.10650371
69 2010-04-29 HAR.UN.Equity 39.9800 LONG 2010-05-14 37.6200
-0.05902951
85 2010-07-02 LXK.UN.Equity 32.4500 LONG 2010-07-27 37.7600
0.16363636
63 2011-01-24 FFIV.UW.Equity 106.5600 LONG 2011-02-03 118.2100
0.10932808
86 2011-02-23 NTAP.UW.Equity 50.6400 LONG 2011-03-11 47.5200
-0.06161137
50 2011-02-24 F.UN.Equity 14.7000 LONG 2011-06-06 13.9100
-0.05374150
4 2011-03-01 AIG.UN.Equity 36.7000 LONG 2011-04-04 33.9400
-0.07520436
130 2011-06-10 TSO.UN.Equity 21.0400 LONG 2011-07-05 23.1500
0.10028517
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