我在Quantstrat的投资组合似乎投资的资金超过了我的权益水平所允许的水平:
initeq <- 100000 #default initial equity in our portfolio
initacct(account.st,portfolios = portfolio.st,initDate = initdate,currency = "GBP",initEq = initeq)
add.rule(strategy.st,name = "ruleSignal",arguments = list(sigcol = "thresholdentry",sigval = TRUE,ordertype = "market",orderside = "long",prefer = "Close",replace=FALSE,TxnFees = "fee",osFUN = IKTrading::osMaxDollar,tradeSize = tradesize,maxSize = tradesize),type = "enter")
因此,我的初始权益应为£100,000,但是当我检查final_acct$portfolios$firststrat
时,发现Long.Value
很快就超过了£100,000:
| Long.Value |Short.Value |Net.Value |Gross.Value |Realized.PL | Unrealized.PL | Gross.Trading.PL | Txn.Fees | Net.Trading.PL|
2016-01-07 0.00 0 0.00 0.00 0.000000 0.00 0.000000 0.00000 0.00000
2016-01-08 22696.70 0 22696.70 22696.70 0.000000 0.00 0.000000 -163.48349 -163.48349
2016-01-11 43755.86 0 43755.86 43755.86 0.000000 -73.04 -73.036293 -155.66097 -228.69726
2016-01-12 50987.62 0 50987.62 50987.62 0.000000 380.82 380.820825 -54.25473 326.56610
2016-01-13 51066.12 0 51066.12 51066.12 0.000000 78.52 78.501426 0.00000 78.50143
2016-01-14 50483.78 0 50483.78 50483.78 0.000000 -582.32 -582.341496 0.00000 -582.34150
2016-01-15 56346.89 0 56346.89 56346.89 0.000000 -1408.13 -1408.114127 -56.35611 -1464.47024
2016-01-18 93142.72 0 93142.72 93142.72 0.000000 -524.25 -524.225861 -276.60029 -800.82615
2016-01-19 114083.91 0 114083.91 114083.91 0.000000 1963.11 1963.094442 -134.89045 1828.20400
2016-01-20 110115.66 0 110115.66 110115.66 0.000000 -3968.26 -3968.246460 0.00000 -3968.24646
2016-01-21 126552.35 0 126552.35 126552.35 0.000000 1486.71 1486.683973 -104.75002 1381.93396
2016-01-22 127340.41 0 127340.41 127340.41 -98.367680 1821.38 1723.010825 -31.01953 1691.99129
2016-01-25 127029.63 0 127029.63 127029.63 0.000000 -310.77 -310.777709 0.00000 -310.77771
2016-01-26 127241.26 0 127241.26 127241.26 0.000000 211.63 211.623548 0.00000 211.62355
2016-01-27 128504.60 0 128504.60 128504.60 0.000000 1263.34 1263.342828 0.00000 1263.34283
2016-01-28 126390.50 0 126390.50 126390.50 0.000000 -2114.10 -2114.098625 0.00000 -2114.09862
2016-01-29 134509.26 0 134509.26 134509.26 0.000000 3128.36 3128.350821 -34.95203 3093.39879
2016-02-01 134659.76 0 134659.76 134659.76 0.000000 150.51 150.504521 0.00000 150.50452
2016-02-02 132240.90 0 132240.90 132240.90 0.000000 -2418.88 -2418.865774 0.00000 -2418.86577
到第二个月初,净利润仅为393英镑,则投资了13.2万英镑。
如何将总的多头价值限制为投资组合的价值?