Using custom TxnFee function with apply.paramset()
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