A complete rookie here.
I'm currently reading Ernie Chan's 'Algorithmic Trading' and trying to recreate his results with quantstrat in R. Everything seems to be fine except for portfolio return calculation part. In his book EC uses the following formula for daily returns:
daily_return = net_daily_p&l / yesterdays_gross_portfolio_value
while PortfReturns function in R definitely returns something like this:
daily_return = net_daily_p&l / initial_account_equity
which makes impressive EC's plots and Sharpe-values not so impressive at all. Are these different methodologies for return calculation or am I missing something important?