r - -100% の累積リターンをもたらす Quantstrat 取引統計?

Question

私は Quantstrat で取引統計を使用し、この世界の外に見える正の終了株式を取得しました (開始株式 = 1m)。しかし、不可解なのは、パフォーマンスを集計すると、累積リターンが -1.0 になることです。

エクイティがプラスで、累積リターンがマイナスになるにはどうすればよいでしょうか? エクイティの終了に関する私の理解は間違っていますか?

library(quantmod)
library(FinancialInstrument)
library(PerformanceAnalytics)
library(foreach)
library(blotter)
library(quantstrat)

options("getSymbols.yahoo.warning"=FALSE)
options("getSymbols.warning4.0"=FALSE)

initDate="1990-01-01"
from ="2009-01-01"
to ="2013-01-01"
symbols = c("SPY")
currency("USD")
getSymbols(symbols, from=from, to=to, adjust=TRUE)

stock(symbols, currency="USD", multiplier=1)
initEq=1000000

strategy.st <- portfolio.st <- account.st <- "mystrat"

rm.strat(portfolio.st)
rm.strat(account.st)


initPortf(name=portfolio.st,
          symbols=symbols,
          initDate=initDate,
          currency='USD')
initAcct(name=account.st,
         portfolios=portfolio.st,
         initDate=initDate,
         currency='USD',
         initEq=initEq)
initOrders(portfolio=portfolio.st,
           initDate=initDate)

strategy(strategy.st, store=TRUE)

### Add Indicators

nRSI <- 21
buyThresh <- 50
sellThresh <- 50

#Indicator for EMA long medium short

nEMAL<- 200
nEMAM<- 30
nEMAS<- 13
nEMAF<- 5

add.indicator(strategy.st, name="RSI",
              arguments=list(price=quote(Cl(mktdata)), n=nRSI),
              label="rsi")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAL),
              label="EMAL")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAM),
              label="EMAM")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAS),
              label="EMAS")

add.indicator(strategy.st, name="EMA",
              arguments=list(x=quote(Cl(mktdata)), n=nEMAF),
              label="EMAF")

upsig <- function(data) {
  sig <- data[, "rsi"] >50 & data[, "EMA.EMAM"] > data[, "EMA.EMAL"]   
  colnames(sig) <- "upSig"
  sig
}

downsig <- function(data) {
  sig <- data[, "rsi"] <50 & data[, "EMA.EMAM"] < data[, "EMA.EMAL"]   
  colnames(sig) <- "downSig"
  sig
}



### Add Signal- Enter

add.signal(strategy.st, name="upsig",
           arguments=list(data = quote(mktdata)),
           label = "entersig")

add.signal(strategy.st, name="downsig",
           arguments=list(data = quote(mktdata)),
           label = "exitsig")

### Add rule - Enter

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="upSig.entersig",
                          sigval=TRUE,
                          orderqty=1000,
                          ordertype='market',
                          orderside='long',
                          threshold=NULL),
         type='enter',
         path.dep=TRUE)


### Add rule- Exit

add.rule(strategy.st,
         name='ruleSignal',
         arguments = list(sigcol="downSig.exitsig",
                          sigval=TRUE,
                          orderqty= -1000,
                          ordertype='market',
                          orderside='long',
                          pricemethod='market',
                          replace=FALSE),
         type='exit',
         path.dep=TRUE)

start_t<-Sys.time()
out<-try(applyStrategy(strategy=strategy.st,
                       portfolios=portfolio.st))


updatePortf(portfolio.st)
updateAcct(portfolio.st)
updateEndEq(account.st)

for(symbol in symbols) {
  chart.Posn(
    Portfolio=portfolio.st,
    Symbol=symbol,
    log=TRUE)
}

tstats <- tradeStats(portfolio.st)
t(tstats)

rets <- PortfReturns(Account = account.st)
rownames(rets) <- NULL
charts.PerformanceSummary(rets, colorset = bluefocus)

tab.perf <- table.Arbitrary(rets,
                            metrics=c(
                              "Return.cumulative",
                              "Return.annualized",
                              "SharpeRatio.annualized",
                              "CalmarRatio"),
                            metricsNames=c(
                              "Cumulative Return",
                              "Annualized Return",
                              "Annualized Sharpe Ratio",
                              "Calmar Ratio"))
tab.perf


#Test here
#test <-try(applyIndicators(strategy.st,mktdata=OHLC(AAPL)))
#head(test, n=40)