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