SCM

SCM Repository

[blotter] Log of /pkg/quantstrat/R/paramsets.R
[blotter] / pkg / quantstrat / R / paramsets.R  
ViewVC logotype

Log of /pkg/quantstrat/R/paramsets.R

Parent Directory Parent Directory


Links to HEAD: (view) (download) (annotate)
Sticky Revision:

Revision 1565 - (view) (download) (annotate) - [select for diffs]
Modified Mon Nov 4 20:15:00 2013 UTC (5 years, 8 months ago) by opentrades
File length: 20015 byte(s)
Diff to previous 1550
- fixed single paramset distribution
- fixed luxor demo 4 timespans
- small output file name adjustment for luxor.3 and luxor.4 demos


Revision 1550 - (view) (download) (annotate) - [select for diffs]
Modified Thu Oct 24 19:13:56 2013 UTC (5 years, 8 months ago) by opentrades
File length: 19776 byte(s)
Diff to previous 1548
- using registerDoSEQ() is now handled differently in appl.paramset() so it does noy wipe the .blotter and .startegy environments 


Revision 1548 - (view) (download) (annotate) - [select for diffs]
Modified Thu Oct 24 09:30:51 2013 UTC (5 years, 8 months ago) by bodanker
File length: 19714 byte(s)
Diff to previous 1527
- add '...' to apply.paramset, and pass to applyStrategy and updatePortf

Revision 1527 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 14 17:39:24 2013 UTC (5 years, 9 months ago) by braverock
File length: 19602 byte(s)
Diff to previous 1503
- clean up use of getPortfolio/.getPortfolio, as appropriate

Revision 1503 - (view) (download) (annotate) - [select for diffs]
Modified Fri Sep 13 21:37:20 2013 UTC (5 years, 10 months ago) by braverock
File length: 19600 byte(s)
Diff to previous 1499
- almost all the work to convert the symbols slot in portfolio and each asset into an environment
- thanks to Josh Ulrich for helping conceptualize this, and JR for the suggestion

Revision 1499 - (view) (download) (annotate) - [select for diffs]
Modified Mon Aug 26 09:01:15 2013 UTC (5 years, 10 months ago) by opentrades
File length: 19596 byte(s)
Diff to previous 1472
- renamed add.constraint to add.distribution.constraint


Revision 1472 - (view) (download) (annotate) - [select for diffs]
Modified Sun May 26 14:22:55 2013 UTC (6 years, 1 month ago) by opentrades
File length: 19531 byte(s)
Diff to previous 1464
- doRedis timeout patch, thanks to Kent Huxsey


Revision 1464 - (view) (download) (annotate) - [select for diffs]
Modified Wed May 8 20:43:14 2013 UTC (6 years, 2 months ago) by opentrades
File length: 18875 byte(s)
Diff to previous 1445
- addde WFA paramset to luxor.5 strategy
- added luxor WFA (Walk Forward Analysis) demo
- fixed some small issues with walk forward implementation
- added sample walk forward chart demo


Revision 1445 - (view) (download) (annotate) - [select for diffs]
Modified Tue Apr 23 22:23:04 2013 UTC (6 years, 2 months ago) by braverock
File length: 18874 byte(s)
Diff to previous 1382
- add tradeOrderStats
- update roxygen docs
- update NAMESPACE

Revision 1382 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jan 24 00:56:18 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18926 byte(s)
Diff to previous 1378
- added packages parameter to apply.paramsets() to allow user to specify extra packages to load


Revision 1378 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jan 22 00:42:17 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18799 byte(s)
Diff to previous 1373
- some improvements in storing selected param.combo in .audit environment


Revision 1373 - (view) (download) (annotate) - [select for diffs]
Modified Mon Jan 21 19:04:11 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18858 byte(s)
Diff to previous 1372
- fixed bug when apply.paramset() was called without mktdata


Revision 1372 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 20 22:38:58 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18853 byte(s)
Diff to previous 1371
- added some more results objects to paramsets() + walk.forward() returned environment in preparation for walk.forward() graph


Revision 1371 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 20 21:59:33 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18407 byte(s)
Diff to previous 1366
- add must.be.environment() function
- modified apply.paramset() audit parameter, must now be NULL or specify an env to store info
- moved saving of env in a file from apply.paramset() to walk.forward()


Revision 1366 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jan 17 01:47:36 2013 UTC (6 years, 5 months ago) by opentrades
File length: 18247 byte(s)
Diff to previous 1362
- added feature to apply.paramset() to store all portfolios and orderbooks in a file for later 
audit
- added audit.st parameter to apply.paramset() to specify filename for audit file
- added audit.prefix parameter to walk.forward() to specify a prefix for generation of 
filenames for each step, to be passed on to apply.paramset()


Revision 1362 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jan 15 22:25:10 2013 UTC (6 years, 6 months ago) by opentrades
File length: 18027 byte(s)
Diff to previous 1354
- fixed some undocumented arguments and other R CMD check warnings


Revision 1354 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 13 00:11:28 2013 UTC (6 years, 6 months ago) by opentrades
File length: 17569 byte(s)
Diff to previous 1353
- renamed store.strategy() to put.strategy() for name compatibility


Revision 1353 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jan 12 23:53:37 2013 UTC (6 years, 6 months ago) by opentrades
File length: 17601 byte(s)
Diff to previous 1352
- introduced put.orderbook() for better data abstraction


Revision 1352 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jan 12 22:46:57 2013 UTC (6 years, 6 months ago) by opentrades
File length: 17918 byte(s)
Diff to previous 1351
- introduced put.account() for better data abstraction


Revision 1351 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jan 12 22:35:57 2013 UTC (6 years, 6 months ago) by opentrades
File length: 18006 byte(s)
Diff to previous 1350
- introduced put.portfolio() for better data abstraction


Revision 1350 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jan 12 22:13:31 2013 UTC (6 years, 6 months ago) by opentrades
File length: 18224 byte(s)
Diff to previous 1344
- various small improvements in walk.forward() and apply.paramset()


Revision 1344 - (view) (download) (annotate) - [select for diffs]
Modified Fri Jan 4 23:44:54 2013 UTC (6 years, 6 months ago) by opentrades
File length: 18435 byte(s)
Diff to previous 1339
- renamed user.func and args.list parameters in apply.paramset() to user.func and user.args resp
- removed user.func and args.list parameters from walk.forward() and introduced ... instead, so user.func 
and user.args can be optionally passed to apply.paramset() if applicable
- updated documentation for apply.paramset()


Revision 1339 - (view) (download) (annotate) - [select for diffs]
Modified Fri Jan 4 00:28:50 2013 UTC (6 years, 6 months ago) by opentrades
File length: 18223 byte(s)
Diff to previous 1338
added user.func and args.list to apply.paramsets to allow offloading portfolio calculations to slave


Revision 1338 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jan 3 19:54:03 2013 UTC (6 years, 6 months ago) by opentrades
File length: 17978 byte(s)
Diff to previous 1322
modified walk.forward() to use parameter list for objective_args instead of just one parameter


Revision 1322 - (view) (download) (annotate) - [select for diffs]
Modified Thu Dec 27 01:19:22 2012 UTC (6 years, 6 months ago) by opentrades
File length: 17976 byte(s)
Diff to previous 1321
- changed name of 'mode' parameter in apply.paramset to 'calc' in order to avoid conflict with R mode func
- split objective in objective.func and objective.arg, with defaults 'max' and 
'quote(tradeStats.list$Net.Trading.PL)' resp
- adjusted docs


Revision 1321 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 26 22:41:47 2012 UTC (6 years, 6 months ago) by opentrades
File length: 17976 byte(s)
Diff to previous 1300
- introduced mode=c('master',slave') for apply.paramset() to specify where updatePortf() should be run, for 
now this implies return of portfolio results in the .blotter and .strategy envs ('master') or as a list 
('slave')
- various other improvements in apply.paramsets, a.o. fixing double return of portfolio data and fixing 
passing complete environments up and down unnecessarily
- adjust walk.forward() to call apply.paramsets(..., mode='slave') in order to prevent name collisions and 
overwriting old portfolio results in the environment  between differents calls of apply.paramsets()
- update some documentation for apply.paramsets()


Revision 1300 - (view) (download) (annotate) - [select for diffs]
Modified Sun Dec 16 21:51:14 2012 UTC (6 years, 7 months ago) by opentrades
File length: 16070 byte(s)
Diff to previous 1277
added mktdata argument to apply.paramset, to be passed to applyStrategy


Revision 1277 - (view) (download) (annotate) - [select for diffs]
Modified Mon Dec 10 01:41:21 2012 UTC (6 years, 7 months ago) by opentrades
File length: 16044 byte(s)
Diff to previous 1252
set .maxcombine to nrows(pararm.combos), to specify number of combine arguments


Revision 1252 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 18 23:39:54 2012 UTC (6 years, 7 months ago) by opentrades
File length: 16012 byte(s)
Diff to previous 1251
paramsets tradeStats now skips portfolios with NULL results


Revision 1251 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 13 21:35:40 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15964 byte(s)
Diff to previous 1250
removed .maxcombine=100


Revision 1250 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 13 21:23:30 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15981 byte(s)
Diff to previous 1249
- all order_books from slaves are now also assigned to master .strategy environment


Revision 1249 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 13 20:49:59 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15724 byte(s)
Diff to previous 1248
- combine function now assigns slave portfolio objects to master .blotter enviroment
- moved updatePortf() and tradeStats() into combine function


Revision 1248 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 13 19:44:14 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15607 byte(s)
Diff to previous 1247
- introduced combine function
- converted result list in named list using portfolio names


Revision 1247 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 11 22:38:43 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15286 byte(s)
Diff to previous 1241
added support for timespan paramsets


Revision 1241 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 8 15:47:44 2012 UTC (6 years, 8 months ago) by opentrades
File length: 15069 byte(s)
Diff to previous 1231
small improvement in erorr msgs


Revision 1231 - (view) (download) (annotate) - [select for diffs]
Modified Fri Oct 26 21:07:53 2012 UTC (6 years, 8 months ago) by opentrades
File length: 14693 byte(s)
Diff to previous 1228
- various improvements in paramsets.R
- load.strategy() and save.strategy()
- stop() if isMaxPos() called but PosLimit==NULL
- luxor.exists.R creates and stores luxor.RData strategy object in file
- luxor.{StopLoss,StopTrailing,TakeProfit}.R now using stored strategy luxor.RData
- some more documentation


Revision 1228 - (view) (download) (annotate) - [select for diffs]
Added Mon Oct 22 22:02:05 2012 UTC (6 years, 8 months ago) by opentrades
File length: 12689 byte(s)
- reworked parameters.R to paramsets.R
- paramset distributions and constraints are now stored in the strategy object
- paramset constraints now also allow for constraints between different components
- still some work to be done on documentation and adapting demos
- introduced utils.R for common functions


This form allows you to request diffs between any two revisions of this file. For each of the two "sides" of the diff, enter a numeric revision.

  Diffs between and
  Type of Diff should be a

Sort log by:

root@r-forge.r-project.org
ViewVC Help
Powered by ViewVC 1.0.0  
Thanks to:
Vienna University of Economics and Business Powered By FusionForge