[R-SIG-Finance] Possible tradeStats() issue
jan at opentrades.nl
Tue Nov 20 22:14:27 CET 2012
Your observations are totally correct Michael.
Using txnFees != 0 is in fact a hack to be able to discern individual
trades, but of course it only works under the conditions mentioned. In
my strategies I usually specify 0 for entry transaction costs, then
double the transaction costs for exits, but that will only work in
certain strategies, true.
I am not aware of any plans to fix this at this point; patches (as
always) welcome :-)
On 20-11-12 21:44, Michael Newell wrote:
> I have recently come across an issue using the tradeStats() function
> which was exposed by setting txnFees. Looking at the tradeStats()
> codes it attempts to determine the number of trades based on the
> following logic:
> PL.gt0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL > 0]
> PL.lt0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL < 0]
> PL.ne0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL != 0]
> NumberOfTrades <- nrow(PL.ne0)
> When not using txnFees your opening transaction of a trade have a PL
> of 0 and hence this number does indeed match up with the number of
> trades. However as soon as you set a txnFees amount it means your
> opening transaction has a PL equal to your txnFees (e.g. spread cost
> of -0.0002). This now doubles the "NumberOfTrades" as all opening
> transactions have a PNL != 0 as shown below under PL column.
> Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
> 1990-01-01 00:00:00 0 0.00000 0e+00 0.00000 0.00000
> 2010-01-22 13:59:00 1 1.61112 -2e-04 1.61112 1.61112
> 2010-01-25 15:59:00 -1 1.61837 0e+00 -1.61837 1.61837
> 2010-01-28 09:59:00 -1 1.62732 -2e-04 -1.62732 1.62732
> 2010-01-28 16:59:00 1 1.61347 0e+00 1.61347 1.61347
> There are a number of statistics in tradeStats() which use the PL.gt0,
> PL.lt0 and PL.ne0 variables and therefore produce incorrect results
> when txnFees>0. This is easily recreated using any demo with txnFees
> present and not present and reviewing the tradeStats() results.
> Michael Newell
> R-SIG-Finance at r-project.org mailing list
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Jan Humme - OpenTrades
Email: jan at opentrades.nl
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