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I have a historical PMwR journal of trades (one for each side of position open/close) in R.

I wish to backtest trade sizing algorithms, one of the inputs to which calculation will be, on-the-day total value of the portfolio prior to execution of each open.

I would prefer to do this within PMwR.

From the docs, I can't see how to access total portfolio value (or related 'path-dependent' numbers for example 'cash position', 'on the day' inside a backtest. Is this available within the framework, or do I need to maintain P&L etc externally in a Global via some explicit loop?

Does anyone have an example of backtesting trade sizing using PMwR, in a situation where pre-trade total portfolio value, current holdings in each instrument, etc are inputs for the sizing algorithm?

I am also open to non-PMwR solutions, but I appreciate its clarity and elegance and would prefer to stay within it if possible.

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It is described in the PMwR manual.

An example: I make up a trivial price series.

library("PMwR")
prices <- 1:5

The signal function instructs the algorithm to buy a random quantity at each timestamp. And signal also prints the current values of total wealth, cash and the position.

signal <- function() {

    cat("Time", Time(), "\n")
    cat("Total portfolio value", round(Wealth(), 2),
        "  cash", round(Cash(), 2), "\n")
    cat("Position ", round(Portfolio(), 3), "\n\n")

    runif(1)  ## a random position
}

Calling btest:

bt <- btest(prices, signal, initial.cash = 100)
## Time 1 
## Total portfolio value 100   cash 100 
## Position  0 
## 
## Time 2 
## Total portfolio value 100   cash 99.65 
## Position  0.173 
## 
## Time 3 
## Total portfolio value 100.17   cash 98.4 
## Position  0.59 
## 
## Time 4 
## Total portfolio value 100.76   cash 99.34 
## Position  0.355 

position(bt)
##           [,1]
## [1,] 0.0000000
## [2,] 0.1725948
## [3,] 0.5902009
## [4,] 0.3549475
## [5,] 0.7121020
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