[R-SIG-Finance] Custom Txnfee function in apply.paramset vs applyStrategy

[Joshua Ulrich]

The problem is that you're sending HTML, which the posting guide tells
you not to do:
https://www.r-project.org/posting-guide.html
See also the first paragraph in the "General Instructions" section at
the bottom of:
https://www.r-project.org/mail.html

On Mon, Apr 25, 2016 at 10:43 AM, Atakan Okan <atakanokan at outlook.com> wrote:
> So the code seems a bit odd, the indentation must have somehow caused some problems when emailing.
> This a better and a little bit more compact one:
<snip mangled code>
> From: atakanokan at outlook.com
> To: r-sig-finance at r-project.org
> Subject: Custom Txnfee function in apply.paramset vs applyStrategy
> Date: Sun, 24 Apr 2016 21:36:33 +0300
>
>
>
>
> Hi,
> I have been experimenting with different custom transaction fee models for different assets and I realized that apply.paramset and applyStrategy yields different results when a custom transaction fee function is used.
> The reproducible example is below, and even though apply.paramset yields a NetPnL result of 21779 with the custom transaction fee model, applyStrategy yields 21509, which makes me believe that apply.paramset somehow is not incorporating the fees. The comparison of NetPnL results were made with the parameter combination of FastSMA=5, SlowSMA=50 and Stoploss=0.005.
> Any help is appreciated, thanks.
> Atakan Okan
> Code:
<snip mangled code>
>         [[alternative HTML version deleted]]
>
^^^ There's your problem.

> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.



-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2016 | www.rinfinance.com