[R-SIG-Finance] Using custom TxnFee function with apply.paramset()

Brian G. Peterson brian at braverock.com
Sat Oct 3 18:17:52 CEST 2015


On 10/03/2015 09:34 AM, Akane Fortuna wrote:
> I made a script that runs apply.paramset() and applyStrategy() on the same
> data. applyStrategy() uses a combination of parameters that are in the
> indicator's distribution. However, the statistic of Net Trading PnL
> returned from apply.paramset and applyStrategy for the same combination of
> parameters are not the same. applyStrategy returns a much smaller number
> which I assume is the effect of TxnFee working. I checked the documentation
> for apply.paramset() but couldn't figure it out, checked the source code
> for it too, it didn't help either. Maybe it is due to my ignorance, but I
> appreciate any help.
>
> So the question is:
> How can I make apply.paramset() use a custom txn.fee function that I
> created?


Yes, that should work.

If it isn't working, it may be a bug.

For anyone to help you, you'll need to strip things down to  a minimal 
reproducible example.

Regards,

Brian


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



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