问题
I'm coding a portfolio analysis tool based off back-tests. In short, I want to add a column that starts at X value which will be the initial capital plus the result of the first trade, and have the rest of the values updated from the % change of each trade, but I haven't sorted out a way to put that logic into code. The following code is a simplified example.
profit <- c(10, 15, -5, -6, 20)
change <- profit / 1000
balance <- c(1010, 1025, 1020, 1014, 1036)
data <- data.frame(profit, change, balance)
So far, the only way I can think about is to create a separate vector that increases or decreases based off the change column, but I'm not sure how to do it in a way that it takes into account like the previous value, so doing balance = start_capital * (1 + change) which would give the proportional increase taking always into account the same initial value, not the previous value plus the change of the new one (I hope I explained myself).
Thanks, Fernando.
EDIT
I have the correct change value on the actual program as each back-test updates the balance with the result of each new trade, so the change column on the real data is correct as it is properly updating, but my code combines several back-test and as the balance update is for each separate back-test and not the combined, it is not usable when combining everything, that's why I added the change column.
回答1:
If you want to do this via change column we can use Reduce
start_capital <- 1000
Reduce(function(x, y) x + x*y, data$change, init = start_capital, accumulate = TRUE)[-1]
#[1] 1010.000 1025.150 1020.024 1013.904 1034.182
Reduce with accumulate = TRUE gives the output in a cumulative form taking the output of the current iteration as input to the next one.
来源：https://stackoverflow.com/questions/60573482/how-to-create-a-dynamic-column-in-r