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I have a trading strategy that closes one position on an asset and open a new position on a different asset every day at noon. No more than one position is open at a single time. Assets are crypto currencies with very high beta so that average daily return on the period I backtest is higher than 2 * trading fees.

My algo pick-up a crypto currency on a daily basis and I use PerformanceAnalytics R package to calculate the daily return from the close prices of every currency that is selected.

I'm wondering how to include the trading fees of 0.25% (Poloniex cryptocurrencies trading platform).

Can I simply remove the fees from the daily returns ?

For example, if my daily return without fees are :

           Daily Return wo fees
2015-01-01 0.5
2015-01-02 1.3
2015-01-03 5.4
2015-01-04 2.6
2015-01-05 3.9

Then daily return including fees to close (0.25%) then re-open (0.25%) a position would be :

           Daily Return w fees
2015-01-01   0
2015-01-02 0.8
2015-01-03 4.9
2015-01-04 2.1
2015-01-05 3.4

Thank you,

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If you're just looking to net out the fees from your gross returns, a-b should be relatively accurate for your backtest.

I will caution you to make sure that you're reflecting the actual structure of the fees on the trading platform. Depending on where the fees are paid out of, your true returns (in your trading system) may be different from your backtests. If your fees are paid out of the transaction, net of fee returns are calculated one way while if they are paid out externally they should be calculated another.

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  • $\begingroup$ Hi zhqiat, thank you, I wasn't sure my statement is correct. $\endgroup$ – Florent Aug 11 '16 at 18:39

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