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 suggestion. 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. -- Regards, Michael Newell
Possible tradeStats() issue
1 message · Michael Newell