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<ul class="summary">
<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#r-resources"><i class="fa fa-check"></i><b>1.1</b> R Resources</a></li>
<li class="chapter" data-level="1.2" data-path="index.html"><a href="index.html#libraries"><i class="fa fa-check"></i><b>1.2</b> Libraries</a></li>
<li class="chapter" data-level="1.3" data-path="index.html"><a href="index.html#sessioninfo"><i class="fa fa-check"></i><b>1.3</b> SessionInfo</a></li>
</ul></li>
<li class="chapter" data-level="2" data-path="terminology.html"><a href="terminology.html"><i class="fa fa-check"></i><b>2</b> Terminology</a></li>
<li class="chapter" data-level="3" data-path="using-quantstrat.html"><a href="using-quantstrat.html"><i class="fa fa-check"></i><b>3</b> Using Quantsrat</a><ul>
<li class="chapter" data-level="3.1" data-path="using-quantstrat.html"><a href="using-quantstrat.html#settings-and-variables"><i class="fa fa-check"></i><b>3.1</b> Settings and Variables</a></li>
<li class="chapter" data-level="3.2" data-path="using-quantstrat.html"><a href="using-quantstrat.html#symbols"><i class="fa fa-check"></i><b>3.2</b> Symbols</a></li>
<li class="chapter" data-level="3.3" data-path="using-quantstrat.html"><a href="using-quantstrat.html#checkBlotterUpdate"><i class="fa fa-check"></i><b>3.3</b> checkBlotterUpdate()</a></li>
</ul></li>
<li class="chapter" data-level="4" data-path="get-symbols.html"><a href="get-symbols.html"><i class="fa fa-check"></i><b>4</b> Get Symbols</a><ul>
<li class="chapter" data-level="4.1" data-path="get-symbols.html"><a href="get-symbols.html#yahoo"><i class="fa fa-check"></i><b>4.1</b> Yahoo!</a></li>
<li class="chapter" data-level="4.2" data-path="get-symbols.html"><a href="get-symbols.html#google"><i class="fa fa-check"></i><b>4.2</b> Google</a></li>
<li class="chapter" data-level="4.3" data-path="get-symbols.html"><a href="get-symbols.html#mysql"><i class="fa fa-check"></i><b>4.3</b> MySQL</a></li>
<li class="chapter" data-level="4.4" data-path="get-symbols.html"><a href="get-symbols.html#fred"><i class="fa fa-check"></i><b>4.4</b> FRED</a></li>
<li class="chapter" data-level="4.5" data-path="get-symbols.html"><a href="get-symbols.html#oanda"><i class="fa fa-check"></i><b>4.5</b> OANDA</a></li>
</ul></li>
<li class="chapter" data-level="5" data-path="basic-strategy.html"><a href="basic-strategy.html"><i class="fa fa-check"></i><b>5</b> Basic Strategy</a><ul>
<li class="chapter" data-level="5.1" data-path="basic-strategy.html"><a href="basic-strategy.html#strategy-setup"><i class="fa fa-check"></i><b>5.1</b> Strategy Setup</a></li>
<li class="chapter" data-level="5.2" data-path="basic-strategy.html"><a href="basic-strategy.html#add-indicators"><i class="fa fa-check"></i><b>5.2</b> Add Indicators</a></li>
<li class="chapter" data-level="5.3" data-path="basic-strategy.html"><a href="basic-strategy.html#add-signals"><i class="fa fa-check"></i><b>5.3</b> Add Signals</a></li>
<li class="chapter" data-level="5.4" data-path="basic-strategy.html"><a href="basic-strategy.html#add-rules"><i class="fa fa-check"></i><b>5.4</b> Add Rules</a></li>
<li class="chapter" data-level="5.5" data-path="basic-strategy.html"><a href="basic-strategy.html#apply-strategy"><i class="fa fa-check"></i><b>5.5</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="6" data-path="data-quality.html"><a href="data-quality.html"><i class="fa fa-check"></i><b>6</b> Data Quality</a><ul>
<li class="chapter" data-level="6.1" data-path="data-quality.html"><a href="data-quality.html#yahoo-vs.google"><i class="fa fa-check"></i><b>6.1</b> Yahoo! vs. Google</a></li>
<li class="chapter" data-level="6.2" data-path="data-quality.html"><a href="data-quality.html#examining-trades"><i class="fa fa-check"></i><b>6.2</b> Examining Trades</a></li>
</ul></li>
<li class="chapter" data-level="7" data-path="parameter-optimization.html"><a href="parameter-optimization.html"><i class="fa fa-check"></i><b>7</b> Parameter Optimization</a><ul>
<li class="chapter" data-level="7.1" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution"><i class="fa fa-check"></i><b>7.1</b> Add Distribution</a></li>
<li class="chapter" data-level="7.2" data-path="parameter-optimization.html"><a href="parameter-optimization.html#add-distribution-constraint"><i class="fa fa-check"></i><b>7.2</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="7.3" data-path="parameter-optimization.html"><a href="parameter-optimization.html#running-parallel"><i class="fa fa-check"></i><b>7.3</b> Running Parallel</a></li>
<li class="chapter" data-level="7.4" data-path="parameter-optimization.html"><a href="parameter-optimization.html#apply-paramset"><i class="fa fa-check"></i><b>7.4</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="8" data-path="stop-loss.html"><a href="stop-loss.html"><i class="fa fa-check"></i><b>8</b> Stop-Loss Orders</a><ul>
<li class="chapter" data-level="8.1" data-path="stop-loss.html"><a href="stop-loss.html#add-indicators-1"><i class="fa fa-check"></i><b>8.1</b> Add Indicators</a></li>
<li class="chapter" data-level="8.2" data-path="stop-loss.html"><a href="stop-loss.html#add-signals-1"><i class="fa fa-check"></i><b>8.2</b> Add Signals</a></li>
<li class="chapter" data-level="8.3" data-path="stop-loss.html"><a href="stop-loss.html#add-rules-1"><i class="fa fa-check"></i><b>8.3</b> Add Rules</a></li>
<li class="chapter" data-level="8.4" data-path="stop-loss.html"><a href="stop-loss.html#add-position-limit"><i class="fa fa-check"></i><b>8.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="8.5" data-path="stop-loss.html"><a href="stop-loss.html#enable-rules"><i class="fa fa-check"></i><b>8.5</b> Enable Rules</a></li>
<li class="chapter" data-level="8.6" data-path="stop-loss.html"><a href="stop-loss.html#apply-strategy-1"><i class="fa fa-check"></i><b>8.6</b> Apply Strategy</a></li>
</ul></li>
<li class="chapter" data-level="9" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html"><i class="fa fa-check"></i><b>9</b> Stop Loss Optimization</a><ul>
<li class="chapter" data-level="9.1" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-indicators-2"><i class="fa fa-check"></i><b>9.1</b> Add Indicators</a></li>
<li class="chapter" data-level="9.2" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-signals-2"><i class="fa fa-check"></i><b>9.2</b> Add Signals</a></li>
<li class="chapter" data-level="9.3" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-rules-2"><i class="fa fa-check"></i><b>9.3</b> Add Rules</a></li>
<li class="chapter" data-level="9.4" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-position-limit-1"><i class="fa fa-check"></i><b>9.4</b> Add Position Limit</a></li>
<li class="chapter" data-level="9.5" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-1"><i class="fa fa-check"></i><b>9.5</b> Add Distribution</a></li>
<li class="chapter" data-level="9.6" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#add-distribution-constraint-1"><i class="fa fa-check"></i><b>9.6</b> Add Distribution Constraint</a></li>
<li class="chapter" data-level="9.7" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#enable-rules-1"><i class="fa fa-check"></i><b>9.7</b> Enable Rules</a></li>
<li class="chapter" data-level="9.8" data-path="stop-loss-optimization.html"><a href="stop-loss-optimization.html#apply-paramset-1"><i class="fa fa-check"></i><b>9.8</b> Apply Paramset</a></li>
</ul></li>
<li class="chapter" data-level="10" data-path="trailing-stops.html"><a href="trailing-stops.html"><i class="fa fa-check"></i><b>10</b> Trailing Stops</a><ul>
<li class="chapter" data-level="10.1" data-path="trailing-stops.html"><a href="trailing-stops.html#osfixeddollar"><i class="fa fa-check"></i><b>10.1</b> osFixedDollar</a></li>
<li class="chapter" data-level="10.2" data-path="trailing-stops.html"><a href="trailing-stops.html#add-indicators-3"><i class="fa fa-check"></i><b>10.2</b> Add Indicators</a></li>
<li class="chapter" data-level="10.3" data-path="trailing-stops.html"><a href="trailing-stops.html#add-signals-3"><i class="fa fa-check"></i><b>10.3</b> Add Signals</a></li>
<li class="chapter" data-level="10.4" data-path="trailing-stops.html"><a href="trailing-stops.html#add-rules-3"><i class="fa fa-check"></i><b>10.4</b> Add Rules</a></li>
<li class="chapter" data-level="10.5" data-path="trailing-stops.html"><a href="trailing-stops.html#enable-rules-2"><i class="fa fa-check"></i><b>10.5</b> Enable Rules</a></li>
<li class="chapter" data-level="10.6" data-path="trailing-stops.html"><a href="trailing-stops.html#save-strategy"><i class="fa fa-check"></i><b>10.6</b> Save Strategy</a></li>
</ul></li>
<li class="chapter" data-level="11" data-path="obtaining-resources.html"><a href="obtaining-resources.html"><i class="fa fa-check"></i><b>11</b> Obtaining Resources</a><ul>
<li class="chapter" data-level="11.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#amazon-web-services"><i class="fa fa-check"></i><b>11.1</b> Amazon Web Services</a></li>
<li class="chapter" data-level="11.2" data-path="obtaining-resources.html"><a href="obtaining-resources.html#getting-started"><i class="fa fa-check"></i><b>11.2</b> Getting Started</a><ul>
<li class="chapter" data-level="11.2.1" data-path="obtaining-resources.html"><a href="obtaining-resources.html#installing-quantstrat"><i class="fa fa-check"></i><b>11.2.1</b> Installing Quantstrat</a></li>
</ul></li>
<li class="chapter" data-level="11.3" data-path="obtaining-resources.html"><a href="obtaining-resources.html#testing-resources"><i class="fa fa-check"></i><b>11.3</b> Testing Resources</a></li>
<li class="chapter" data-level="11.4" data-path="obtaining-resources.html"><a href="obtaining-resources.html#changing-instances"><i class="fa fa-check"></i><b>11.4</b> Changing Instances</a></li>
<li class="chapter" data-level="11.5" data-path="obtaining-resources.html"><a href="obtaining-resources.html#stop-the-server"><i class="fa fa-check"></i><b>11.5</b> Stop the Server</a></li>
<li class="chapter" data-level="11.6" data-path="obtaining-resources.html"><a href="obtaining-resources.html#reading-resources"><i class="fa fa-check"></i><b>11.6</b> Reading Resources</a></li>
</ul></li>
<li class="chapter" data-level="12" data-path="analyzing-results.html"><a href="analyzing-results.html"><i class="fa fa-check"></i><b>12</b> Analyzing Results</a><ul>
<li class="chapter" data-level="12.1" data-path="analyzing-results.html"><a href="analyzing-results.html#apply-strategy-2"><i class="fa fa-check"></i><b>12.1</b> Apply Strategy</a></li>
<li class="chapter" data-level="12.2" data-path="analyzing-results.html"><a href="analyzing-results.html#chart-positions"><i class="fa fa-check"></i><b>12.2</b> Chart Positions</a></li>
<li class="chapter" data-level="12.3" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-statistics"><i class="fa fa-check"></i><b>12.3</b> Trade Statistics</a><ul>
<li class="chapter" data-level="12.3.1" data-path="analyzing-results.html"><a href="analyzing-results.html#trade-related"><i class="fa fa-check"></i><b>12.3.1</b> Trade Related</a></li>
<li class="chapter" data-level="12.3.2" data-path="analyzing-results.html"><a href="analyzing-results.html#profit-related"><i class="fa fa-check"></i><b>12.3.2</b> Profit Related</a></li>
<li class="chapter" data-level="12.3.3" data-path="analyzing-results.html"><a href="analyzing-results.html#averages"><i class="fa fa-check"></i><b>12.3.3</b> Averages</a></li>
<li class="chapter" data-level="12.3.4" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-summary"><i class="fa fa-check"></i><b>12.3.4</b> Performance Summary</a></li>
<li class="chapter" data-level="12.3.5" data-path="analyzing-results.html"><a href="analyzing-results.html#per-trade-statistics"><i class="fa fa-check"></i><b>12.3.5</b> Per Trade Statistics</a></li>
<li class="chapter" data-level="12.3.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-statistics"><i class="fa fa-check"></i><b>12.3.6</b> Performance Statistics</a></li>
<li class="chapter" data-level="12.3.7" data-path="analyzing-results.html"><a href="analyzing-results.html#risk-statistics"><i class="fa fa-check"></i><b>12.3.7</b> Risk Statistics</a></li>
<li class="chapter" data-level="12.3.8" data-path="analyzing-results.html"><a href="analyzing-results.html#buy-and-hold-performance"><i class="fa fa-check"></i><b>12.3.8</b> Buy and Hold Performance</a></li>
<li class="chapter" data-level="12.3.9" data-path="analyzing-results.html"><a href="analyzing-results.html#strategy-vs.market"><i class="fa fa-check"></i><b>12.3.9</b> Strategy vs. Market</a></li>
<li class="chapter" data-level="12.3.10" data-path="analyzing-results.html"><a href="analyzing-results.html#riskreturn-scatterplot"><i class="fa fa-check"></i><b>12.3.10</b> Risk/Return Scatterplot</a></li>
<li class="chapter" data-level="12.3.11" data-path="analyzing-results.html"><a href="analyzing-results.html#relative-performance"><i class="fa fa-check"></i><b>12.3.11</b> Relative Performance</a></li>
<li class="chapter" data-level="12.3.12" data-path="analyzing-results.html"><a href="analyzing-results.html#portfolio-summary"><i class="fa fa-check"></i><b>12.3.12</b> Portfolio Summary</a></li>
<li class="chapter" data-level="12.3.13" data-path="analyzing-results.html"><a href="analyzing-results.html#order-book"><i class="fa fa-check"></i><b>12.3.13</b> Order Book</a></li>
<li class="chapter" data-level="12.3.14" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-adverse-excursion"><i class="fa fa-check"></i><b>12.3.14</b> Maximum Adverse Excursion</a></li>
<li class="chapter" data-level="12.3.15" data-path="analyzing-results.html"><a href="analyzing-results.html#maximum-favorable-excursion"><i class="fa fa-check"></i><b>12.3.15</b> Maximum Favorable Excursion</a></li>
</ul></li>
<li class="chapter" data-level="12.4" data-path="analyzing-results.html"><a href="analyzing-results.html#account-summary"><i class="fa fa-check"></i><b>12.4</b> Account Summary</a><ul>
<li class="chapter" data-level="12.4.1" data-path="analyzing-results.html"><a href="analyzing-results.html#equity-curve"><i class="fa fa-check"></i><b>12.4.1</b> Equity Curve</a></li>
<li class="chapter" data-level="12.4.2" data-path="analyzing-results.html"><a href="analyzing-results.html#account-performance-summary"><i class="fa fa-check"></i><b>12.4.2</b> Account Performance Summary</a></li>
<li class="chapter" data-level="12.4.3" data-path="analyzing-results.html"><a href="analyzing-results.html#cumulative-returns"><i class="fa fa-check"></i><b>12.4.3</b> Cumulative Returns</a></li>
<li class="chapter" data-level="12.4.4" data-path="analyzing-results.html"><a href="analyzing-results.html#distribution-analysis"><i class="fa fa-check"></i><b>12.4.4</b> Distribution Analysis</a></li>
<li class="chapter" data-level="12.4.5" data-path="analyzing-results.html"><a href="analyzing-results.html#annualized-returns"><i class="fa fa-check"></i><b>12.4.5</b> Annualized Returns</a></li>
<li class="chapter" data-level="12.4.6" data-path="analyzing-results.html"><a href="analyzing-results.html#performance-scatter-plot"><i class="fa fa-check"></i><b>12.4.6</b> Performance Scatter Plot</a></li>
<li class="chapter" data-level="12.4.7" data-path="analyzing-results.html"><a href="analyzing-results.html#notional-costs"><i class="fa fa-check"></i><b>12.4.7</b> Notional Costs</a></li>
</ul></li>
</ul></li>
<li class="chapter" data-level="13" data-path="walk-forward-analysis.html"><a href="walk-forward-analysis.html"><i class="fa fa-check"></i><b>13</b> Walk Forward Analysis</a></li>
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<li class="chapter" data-level="15" data-path="warnings-and-errors.html"><a href="warnings-and-errors.html"><i class="fa fa-check"></i><b>15</b> Warnings and Errors</a><ul>
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            <section class="normal" id="section-">
<div id="using-quantstrat" class="section level1">
<h1><span class="header-section-number">Chapter 3</span> Using Quantsrat</h1>
<p>In this book we use the <code>quantstrat</code> library version 0.9.1739. <code>quantstrat</code> provides the base functions we will use to build our strategies; adding indicators, signals and creating the rules of when to buy and when to sell.</p>
<p><code>quantstrat</code> is for signal-based trading strategies, not time-based. However, you can create functions that add signals based on time frames and implement those functions as indicators. We’ll get to that later.</p>
<p><code>quantstrat</code> also allows us to test a strategy on one or many symbols. The downside to using many symbols is that it can be resource-intensive. We can also test strategies with a range of parameters. Say, for example, you want to test a simple SMA strategy but want to find the best-performing SMA parameter; <code>quantstrat</code> allows for this. Again, though, it can be resource-intensive.</p>
<div id="settings-and-variables" class="section level2">
<h2><span class="header-section-number">3.1</span> Settings and Variables</h2>
<p>Settings listed here will be used in all of our backtests. They are required; you will get errors if you run any of the strategies without including the below settings and variables. Some of these may change depending on the strategy which will be noted.</p>
<p>First we use <code>Sys.setenv()</code> to set our timezone to UTC.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">Sys.setenv</span>(<span class="dt">TZ =</span> <span class="st">&quot;UTC&quot;</span>)</code></pre></div>
<p>Next, since we’ll be working with stocks in the U.S. market we need to set our <code>currency</code> object to <strong>USD</strong>.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="kw">currency</span>(<span class="st">&#39;USD&#39;</span>)</code></pre></div>
<pre><code>## [1] &quot;USD&quot;</code></pre>
<p>When backtesting strategies you should always include periods of market turmoil. After all, you don’t want to just see how your strategy performs when the market is strong but also when it is weak. For this book we’ll use the years 2008 and 2009.</p>
<ul>
<li><p><code>init_date</code>: The date we will initialize our account and portfolio objects. This date should be the day prior to <code>start_date</code>.</p></li>
<li><p><code>start_date</code>: First date of data to retrieve.</p></li>
<li><p><code>end_date</code>: Last date of data to retrieve.</p></li>
<li><p><code>init_equity</code>: Initial account equity.</p></li>
<li><p><code>adjustment</code>: Boolean - TRUE if we should adjust the prices for dividend payouts, stock splits, etc; otherwise, FALSE.</p></li>
</ul>
<p>You should always work with adjusted # when possible to give you the truest results.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">init_date &lt;-<span class="st"> &quot;2007-12-31&quot;</span>
start_date &lt;-<span class="st"> &quot;2008-01-01&quot;</span>
end_date &lt;-<span class="st"> &quot;2009-12-31&quot;</span>
init_equity &lt;-<span class="st"> </span><span class="fl">1e4</span> <span class="co"># $10,000</span>
adjustment &lt;-<span class="st"> </span><span class="ot">TRUE</span></code></pre></div>
</div>
<div id="symbols" class="section level2">
<h2><span class="header-section-number">3.2</span> Symbols</h2>
<p>Most our strategies will use three ETF’s: <em>IWM</em>, <em>QQQ</em> and <em>SPY</em>. This is only for demonstration purposes. They are loaded into <code>basic_symbols()</code>.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">basic_symbols &lt;-<span class="st"> </span>function() {
    symbols &lt;-<span class="st"> </span><span class="kw">c</span>(
        <span class="st">&quot;IWM&quot;</span>, <span class="co"># iShares Russell 2000 Index ETF</span>
        <span class="st">&quot;QQQ&quot;</span>, <span class="co"># PowerShares QQQ TRust, Series 1 ETF</span>
        <span class="st">&quot;SPY&quot;</span> <span class="co"># SPDR S&amp;P 500 ETF Trust</span>
    )
}</code></pre></div>
<p>Where we may want to test strategies on a slightly broader scale we’ll use <code>enhanced_symbols()</code> which adds <code>basic_symbols()</code>, <em>TLT</em> and Sector SPDR ETF’s <em>XLB</em>, <em>XLE</em>, <em>XLF</em>, <em>XLI</em>, <em>XLK</em>, <em>XLP</em>, <em>XLU</em>, <em>XLV</em>, and <em>XLY</em>.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">enhanced_symbols &lt;-<span class="st"> </span>function() {
    symbols &lt;-<span class="st"> </span><span class="kw">c</span>(
        <span class="kw">basic_symbols</span>(), 
        <span class="st">&quot;TLT&quot;</span>, <span class="co"># iShares Barclays 20+ Yr Treas. Bond ETF</span>
        <span class="st">&quot;XLB&quot;</span>, <span class="co"># Materials Select Sector SPDR ETF</span>
        <span class="st">&quot;XLE&quot;</span>, <span class="co"># Energy Select Sector SPDR ETF</span>
        <span class="st">&quot;XLF&quot;</span>, <span class="co"># Financial Select Sector SPDR ETF</span>
        <span class="st">&quot;XLI&quot;</span>, <span class="co"># Industrials Select Sector SPDR ETF</span>
        <span class="st">&quot;XLK&quot;</span>, <span class="co"># Technology  Select Sector SPDR ETF</span>
        <span class="st">&quot;XLP&quot;</span>, <span class="co"># Consumer Staples  Select Sector SPDR ETF</span>
        <span class="st">&quot;XLU&quot;</span>, <span class="co"># Utilities  Select Sector SPDR ETF</span>
        <span class="st">&quot;XLV&quot;</span>, <span class="co"># Health Care  Select Sector SPDR ETF</span>
        <span class="st">&quot;XLY&quot;</span> <span class="co"># Consumer Discretionary  Select Sector SPDR ETF</span>
    )
}</code></pre></div>
<p>Lastly, we may use <code>global_symbols()</code> for better insight into a strategy. However, the purposes of this book is to show how to backtest strategies, not to find profitable strategies.</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r">global_symbols &lt;-<span class="st"> </span>function() {
    symbols &lt;-<span class="st"> </span><span class="kw">c</span>(
        <span class="kw">enhanced_symbols</span>(), 
        <span class="st">&quot;EFA&quot;</span>, <span class="co"># iShares EAFE</span>
        <span class="st">&quot;EPP&quot;</span>, <span class="co"># iShares Pacific Ex Japan</span>
        <span class="st">&quot;EWA&quot;</span>, <span class="co"># iShares Australia</span>
        <span class="st">&quot;EWC&quot;</span>, <span class="co"># iShares Canada</span>
        <span class="st">&quot;EWG&quot;</span>, <span class="co"># iShares Germany</span>
        <span class="st">&quot;EWH&quot;</span>, <span class="co"># iShares Hong Kong</span>
        <span class="st">&quot;EWJ&quot;</span>, <span class="co"># iShares Japan</span>
        <span class="st">&quot;EWS&quot;</span>, <span class="co"># iShares Singapore</span>
        <span class="st">&quot;EWT&quot;</span>, <span class="co"># iShares Taiwan</span>
        <span class="st">&quot;EWU&quot;</span>, <span class="co"># iShares UK</span>
        <span class="st">&quot;EWY&quot;</span>, <span class="co"># iShares South Korea</span>
        <span class="st">&quot;EWZ&quot;</span>, <span class="co"># iShares Brazil</span>
        <span class="st">&quot;EZU&quot;</span>, <span class="co"># iShares MSCI EMU ETF</span>
        <span class="st">&quot;IGE&quot;</span>, <span class="co"># iShares North American Natural Resources</span>
        <span class="st">&quot;IYR&quot;</span>, <span class="co"># iShares U.S. Real Estate</span>
        <span class="st">&quot;IYZ&quot;</span>, <span class="co"># iShares U.S. Telecom</span>
        <span class="st">&quot;LQD&quot;</span>, <span class="co"># iShares Investment Grade Corporate Bonds</span>
        <span class="st">&quot;SHY&quot;</span> <span class="co"># iShares 42372 year TBonds</span>
    )
}</code></pre></div>
</div>
<div id="checkBlotterUpdate" class="section level2">
<h2><span class="header-section-number">3.3</span> checkBlotterUpdate()</h2>
<p>The <code>checkBlotterUpdate()</code> function comes courtesy of <a href="http://www.r-programming.org/papers">Guy Yollin</a>. The purpose of this function is to check for discrepancies between the account object and portfolio object. If the function returns <strong>FALSE</strong> we must examine why (perhaps we didn’t clear our objects before running the strategy?).</p>
<div class="sourceCode"><pre class="sourceCode r"><code class="sourceCode r"><span class="co"># Guy Yollin, 2014</span>
<span class="co"># http://www.r-programming.org/papers</span>

checkBlotterUpdate &lt;-<span class="st"> </span>function(<span class="dt">port.st =</span> portfolio.st, 
                               <span class="dt">account.st =</span> account.st, 
                               <span class="dt">verbose =</span> <span class="ot">TRUE</span>) {
    
    ok &lt;-<span class="st"> </span><span class="ot">TRUE</span>
    p &lt;-<span class="st"> </span><span class="kw">getPortfolio</span>(port.st)
    a &lt;-<span class="st"> </span><span class="kw">getAccount</span>(account.st)
    syms &lt;-<span class="st"> </span><span class="kw">names</span>(p$symbols)
    port.tot &lt;-<span class="st"> </span><span class="kw">sum</span>(
        <span class="kw">sapply</span>(
            syms, 
            <span class="dt">FUN =</span> function(x) <span class="kw">eval</span>(
                <span class="kw">parse</span>(
                    <span class="dt">text =</span> <span class="kw">paste</span>(<span class="st">&quot;sum(p$symbols&quot;</span>, 
                                 x, 
                                 <span class="st">&quot;posPL.USD$Net.Trading.PL)&quot;</span>, 
                                 <span class="dt">sep =</span> <span class="st">&quot;$&quot;</span>)))))
    
    port.sum.tot &lt;-<span class="st"> </span><span class="kw">sum</span>(p$summary$Net.Trading.PL)
    
    if(!<span class="kw">isTRUE</span>(<span class="kw">all.equal</span>(port.tot, port.sum.tot))) {
        ok &lt;-<span class="st"> </span><span class="ot">FALSE</span>
        if(verbose) <span class="kw">print</span>(<span class="st">&quot;portfolio P&amp;L doesn&#39;t match sum of symbols P&amp;L&quot;</span>)
    }
    
    initEq &lt;-<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">first</span>(a$summary$End.Eq))
    endEq &lt;-<span class="st"> </span><span class="kw">as.numeric</span>(<span class="kw">last</span>(a$summary$End.Eq))
    
    if(!<span class="kw">isTRUE</span>(<span class="kw">all.equal</span>(port.tot, endEq -<span class="st"> </span>initEq)) ) {
        ok &lt;-<span class="st"> </span><span class="ot">FALSE</span>
        if(verbose) <span class="kw">print</span>(<span class="st">&quot;portfolio P&amp;L doesn&#39;t match account P&amp;L&quot;</span>)
    }
    
    if(<span class="kw">sum</span>(<span class="kw">duplicated</span>(<span class="kw">index</span>(p$summary)))) {
        ok &lt;-<span class="st"> </span><span class="ot">FALSE</span>
        if(verbose)<span class="kw">print</span>(<span class="st">&quot;duplicate timestamps in portfolio summary&quot;</span>)
        
    }
    
    if(<span class="kw">sum</span>(<span class="kw">duplicated</span>(<span class="kw">index</span>(a$summary)))) {
        ok &lt;-<span class="st"> </span><span class="ot">FALSE</span>
        if(verbose) <span class="kw">print</span>(<span class="st">&quot;duplicate timestamps in account summary&quot;</span>)
    }
    <span class="kw">return</span>(ok)
}</code></pre></div>
<ul>
<li><p><a href="http://r-forge.r-project.org/projects/blotter/" class="uri">http://r-forge.r-project.org/projects/blotter/</a></p></li>
<li><p><a href="http://www.r-programming.org/papers" class="uri">http://www.r-programming.org/papers</a></p></li>
</ul>

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