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

Joshua Ulrich josh.m.ulrich at gmail.com
Mon Apr 25 18:20:29 CEST 2016

The problem is that you're sending HTML, which the posting guide tells
you not to do:
See also the first paragraph in the "General Instructions" section at
the bottom of:

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.

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

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