[R-SIG-Finance] Possible tradeStats() issue
michael.newell.uk at gmail.com
Tue Nov 20 23:41:31 CET 2012
Jan/Brian thank you very much for your suggestion of adding this to
the exit of the trade rather than the open. I am new to using the
package so am still finding my way around, as you note this does look
to solve my immediate issue.
Brian I agree with your comment on transactions and the way
tradeStats() calculates transactions seems to work fine (NumberOfTxns
<- nrow(txn) - 1), it was just the calculation of 'NumberOfTrades'
which I had issue with. I've had a quick look at perTradeStats which
would also appear to give me a lot of what I need so thank you for the
Myself and a colleague only came across the Quanstrat package a couple
of weeks ago having previously developed a custom parallel testing
framework for a specific strategy using Quantmod as a base. I am only
sorry we did not come across Quantstrat earlier! As we get to grips
with this fabulous package I hope that we can contribute patches and
such where appropriate.
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