On 09/12/2014 09:18 AM, Andre Mikulec wrote:
I am running the faber.R demo
Here is the url
https://r-forge.r-project.org/scm/viewvc.php/pkg/quantstrat/demo/faber.R?view=markup&root=blotter
Q # 1
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Of the initial equity, I notice that 100,000 dollars invested.
At the start ,is the money split evenly, among the 9 sectors?
Each is invested 11,111.11 dollars? Is this true?
Or, is just a big pile of cash sitting there, waiting for the first transaction?
One reason why I am asking this is because the end result of
faber.stats$Net.Trading.PL seems to look like the
average is around 11,000.
I already answered this in response to your prior query here:
http://r.789695.n4.nabble.com/quantstrat-faber-R-transactions-td4696707.html
The faber.R demo uses a fixed order quantity, as should be obvious from
orderqty=500
So, this demo doesn't care what initial account equity is. It is
investing fixed sizes.
Brian
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