felix's problem with code

.R

require(xts)

dailyip=readRDS(gzcon(url("https://dl.dropboxusercontent.com/s/kfxg1vi1s6hv6cg/dailyip.rds")))
dailyrx=readRDS(gzcon(url("https://dl.dropboxusercontent.com/s/of47enf79ugkq8c/dailyrx.rds")))

populate = function(x) { 
  if(unique(is.na(x))=='TRUE') return(x)
  naseries=cbind(x,NA)[,2]
  where=which(x<(yy))[1]
  if(!is.na(where)) return(na.locf(cbind(x[1:where],naseries)[,1]))
  if(is.na(where)) return(x)
}
populate2 = function(zz) {
  do.call(cbind, lapply(as.list(zz), populate))
}

# variable part
yy <- -0.02

long=ifelse(dailyip==1,1,NA)
short=ifelse(dailyip==-1,-1,NA)
dailyrx2=do.call(rbind, lapply(split(dailyrx, 'months'), cumsum)) 

long_split <- split(long*dailyrx2, 'months') # check dimensions of the input, mispatched
short_split <- split(short*dailyrx2, 'months')

# split into month, and then into columns in populate2
stoploss_l <- do.call(rbind, lapply(long_split, populate2))
stoploss_s <- do.call(rbind, lapply(short_split, populate2))

rx4b <- xts(rowMeans(apply.monthly(stoploss_l, last), na.rm=T)+
              rowMeans(apply.monthly(stoploss_s, last), na.rm=T), 
            index(apply.monthly(stoploss_l, last)))