[Blotter-commits] r1170 - pkg/blotter/R

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2012-09-09 18:19:26 +0200 (Sun, 09 Sep 2012)
New Revision: 1170

Modified:
   pkg/blotter/R/chart.ME.R
Log:
- fix PctPL calcs to do each trade individually instead of the aggregate

Modified: pkg/blotter/R/chart.ME.R
===================================================================
--- pkg/blotter/R/chart.ME.R	2012-09-08 20:24:16 UTC (rev 1169)
+++ pkg/blotter/R/chart.ME.R	2012-09-09 16:19:26 UTC (rev 1170)
@@ -144,20 +144,19 @@
         # investment
         trades$Max.Notional.Cost[i] <- first(trade[which(abs(trade$Pos.Qty)==max(abs(trade$Pos.Qty))),]$Pos.Cost.Basis)
         
+        # percentage-wise
         trade$PctPL <- trade$PosPL/trade$Pos.Value #broken for last trade
         trade$PctPL[length(trade$Pct.PL)]<-last(trade$PosPL)/trades$Max.Notional.Cost
         
+        trades$Pct.Net.Trading.PL[i] <- last(trade$PctPL)
+        trades$Pct.MAE[i] <- min(0,trade$PctPL)
+        trades$Pct.MFE[i] <- max(0,trade$PctPL)
         
         # cash-wise
         trades$Net.Trading.PL[i] <- last(trade$PosPL)
         trades$MAE[i] <- min(0,trade$PosPL)
         trades$MFE[i] <- max(0,trade$PosPL)
     }
-    
-    # percentage-wise
-    trades$Pct.Net.Trading.PL <- last(trade$PctPL)
-    trades$Pct.MAE <- min(0,trade$PctPL)
-    trades$Pct.MFE <- max(0,trade$PctPL)
 
     #TODO add tick stats