Dear guRus
Say I have a price vector, P which is P = c(20,50,40,50) for four
consecutive days.
My initial equity is say $100 and I re-invest the profits made in each
transaction so my equity curve increases.
If I go Long on day 1, short and short on day 2, long and long on day 3 and
finally short on day 4, how do I calculate the total profits using R?
Basically I stay invested at all times.
I have simplified a larger problem by giving a small example.
Thanks for your kind guidance in advance.
Raghu
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