将多头头寸限制在quantstrat中的投资组合价值上-R

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?

caoxh1975 回答:将多头头寸限制在quantstrat中的投资组合价值上-R

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