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Revision 1734 - Directory Listing
Modified Fri Mar 11 16:31:38 2016 UTC (2 years, 10 months ago) by bodanker
Replace calls to View with print in demos

As of R-3.2.3, calling View() on an xts object with duplicate index
values fails. This is because the data.frame will have duplicate row
names and the format.data.frame method no longer appears to support it.

Revision 1733 - Directory Listing
Modified Sun Mar 6 20:04:46 2016 UTC (2 years, 10 months ago) by bodanker
Fix typo in file name (fixes #6292)

Revision 1727 - Directory Listing
Modified Mon Dec 14 13:18:50 2015 UTC (3 years, 1 month ago) by bodanker
Check for required packages before running demos

Packages rgl, gamlss, and gamlss.util are only Suggests, so check that
they're installed before running the demo.

Revision 1724 - Directory Listing
Modified Mon Dec 14 12:54:08 2015 UTC (3 years, 1 month ago) by bodanker
Do not set initDate argument in demos

Do not set initDate for initPortf, initAcct, or initOrders in any of the
demos. Specifying the initDate argument incorrectly can cause errors
that are difficult for users to diagnose, so we shouldn't provide demos
that suggest users need to set initDate manually.

Rename initDate to startDate in all demos in order to avoid confusion
with initDate argument to initPortf, initAcct, and initOrders.

Revision 1721 - Directory Listing
Modified Sun Dec 6 23:08:26 2015 UTC (3 years, 1 month ago) by bodanker
Corrections to luxor.4

Give each distribution separate labels (add.distribution over-writes
existing parameter distributions without warning).

Add distribution contraints so all combinations of entry/exit and
long/short rules have the same timespan.

Revision 1720 - Directory Listing
Modified Sun Dec 6 21:46:31 2015 UTC (3 years, 1 month ago) by bodanker
Get luxor.4 demo running

This demo never worked as committed. The timespan paramset contained
component.type = "rule", which was never supported. It's also unclear
how variable = list(n = .timespans) was supposed to work.

Add a paramset distribution for each combination of entry/exit and
long/short. Change variable from 'n' to 'timespan', since that's the
variable we're parameterizing.

The correctness of the demo is still uncertain, but at least it runs.

Revision 1718 - Directory Listing
Modified Sun Nov 15 17:08:44 2015 UTC (3 years, 2 months ago) by bodanker
Use xts:::plot.xts for walk-forward analysis

The chart.forward.* functions still used the plot.xts API from xtsExtra
from before Ross Bennett's GSoC work. Update them to use the current
API defined by xts:::plot.xts.

Thanks to Alex Alias for the report and patch.

Revision 1713 - Directory Listing
Modified Wed Nov 11 19:49:55 2015 UTC (3 years, 2 months ago) by bodanker
Get luxor.8 closer to running

It seems unlikely this demo ever worked as committed. Even after
ensuring robustbase and PerformanceAnalytics are installed, changing
period="days" (since there isn't enough data for period="months"), and
running the luxor.5 demo before running luxor.8, there's still an error
caused by an attempt to calculate a 40+ period SMA on ~20 observations.

I'm not sure how to fix that last issue, but these seem like enough
changes for one commit. :)

See R-Forge issue #6258.


Revision 1711 - Directory Listing
Modified Mon Nov 2 01:37:38 2015 UTC (3 years, 2 months ago) by bodanker
Fix demo/00Index and file permissions

Demo names should not contain the .R extension. Add missing demos.
Ensure all hash-bang (#!) demos have the correct permissions to run.

Revision 1709 - Directory Listing
Modified Sun Nov 1 21:36:29 2015 UTC (3 years, 2 months ago) by bodanker
Fix docs/missed-renaming issues, roxygenize

Document '...' usage in several functions. Add description to
tradeOrderStats. Remove unicode characters from signal plotting docs.
Remove inadvertently committed applyStrategy.rebalancing.training.Rd.

Remove unnecessary quantstrat::: when calling install.param.combo. Fix
typos in signal plotting code and delete.paramset docs.

Apply the following renamings that were missed:
r1499: s/add.constraint/add.distribution.constraint/ (rm .Rd file)
r1673: s/plot.signals/signal.plot/
r1673: s/plot.signal.path/signal.path.plot/

Bump version.

Revision 1702 - Directory Listing
Modified Tue Oct 27 20:22:27 2015 UTC (3 years, 2 months ago) by braverock
- update bbands and bbandsParameters demos to use apply.paramset

Revision 1701 - Directory Listing
Modified Tue Oct 27 16:50:02 2015 UTC (3 years, 2 months ago) by braverock
- update macd demo and macdParameters demo to use apply.paramset

Revision 1673 - Directory Listing
Modified Wed Jan 21 11:22:28 2015 UTC (3 years, 11 months ago) by michaelguan326
Exported necessary functions to make Signal Analysis demos work.

Revision 1671 - Directory Listing
Modified Sat Jan 17 17:38:17 2015 UTC (4 years ago) by bodanker
- Remove rm(list=ls()), add copyright, update copyright date

Revision 1668 - Directory Listing
Modified Tue Jan 13 18:28:06 2015 UTC (4 years ago) by braverock
- update backtest paper

Revision 1667 - Directory Listing
Modified Wed Jan 7 18:12:44 2015 UTC (4 years ago) by michaelguan326
- add signal demos

Revision 1663 - Directory Listing
Modified Wed Dec 31 13:19:05 2014 UTC (4 years ago) by michaelguan326
New Signal Analysis Module

Revision 1632 - Directory Listing
Modified Tue Sep 16 14:00:04 2014 UTC (4 years, 4 months ago) by braverock
- update faber strategies to fix merge issue, thanks Josh

Revision 1620 - Directory Listing
Modified Fri Jul 11 01:40:08 2014 UTC (4 years, 6 months ago) by efmrforge
Added faber_rebal description to index 

Revision 1614 - Directory Listing
Modified Wed Jun 4 14:40:03 2014 UTC (4 years, 7 months ago) by efmrforge
Restore time zone after demo

Revision 1613 - Directory Listing
Modified Wed Jun 4 14:24:06 2014 UTC (4 years, 7 months ago) by efmrforge
Saved, set, then unset timezone

Revision 1602 - Directory Listing
Modified Thu Apr 17 20:08:38 2014 UTC (4 years, 9 months ago) by efmrforge
Removed redundant requires(quantstrat)

Revision 1595 - Directory Listing
Modified Sat Mar 29 20:56:08 2014 UTC (4 years, 9 months ago) by braverock
- remove traiing function not pushed to R-Forge svn yet

Revision 1594 - Directory Listing
Modified Sat Mar 29 20:39:45 2014 UTC (4 years, 9 months ago) by braverock
- fix rebalancing and rebalancing demos
- update roxygen docs
- bump version

Revision 1565 - Directory Listing
Modified Mon Nov 4 20:15:00 2013 UTC (5 years, 2 months ago) by opentrades
- fixed single paramset distribution
- fixed luxor demo 4 timespans
- small output file name adjustment for luxor.3 and luxor.4 demos


Revision 1546 - Directory Listing
Modified Tue Oct 22 00:09:32 2013 UTC (5 years, 2 months ago) by efmrforge
Corrected name of luxor.7 demo

Revision 1545 - Directory Listing
Modified Mon Oct 21 18:42:37 2013 UTC (5 years, 2 months ago) by opentrades
- fixed path name for luxor.include.R in luxor.8.walk.forward.R demo


Revision 1544 - Directory Listing
Modified Mon Oct 21 18:34:05 2013 UTC (5 years, 2 months ago) by opentrades
- renamed quantstrat/demo/luxor.7.exit+risk.R to luxor.7.exit.and.risk.R to fix problem using demo(luxor.7.risk+exit.R, package='quantstrat') ie. demo name without quotes


Revision 1538 - Directory Listing
Modified Thu Oct 17 19:05:26 2013 UTC (5 years, 3 months ago) by opentrades
- now removing lingering portfolio, account, strategy and order book objects from .blotter and .strategy environments before running any luxor demo


Revision 1530 - Directory Listing
Modified Tue Oct 15 18:15:40 2013 UTC (5 years, 3 months ago) by braverock
- remove unecessary na.omit from demo

Revision 1517 - Directory Listing
Modified Thu Oct 3 20:10:10 2013 UTC (5 years, 3 months ago) by braverock
- updates to only pass one column prices/pos on deeer in the code

Revision 1515 - Directory Listing
Modified Thu Oct 3 08:11:20 2013 UTC (5 years, 3 months ago) by erastus
- luxor source/load path wrangling, moved ES data for forthcoming load()ing via http, other small fixes

Revision 1506 - Directory Listing
Modified Sat Sep 14 11:56:33 2013 UTC (5 years, 4 months ago) by braverock
- fix return calc in demo

Revision 1501 - Directory Listing
Modified Thu Sep 12 16:04:36 2013 UTC (5 years, 4 months ago) by erastus
- fixed column name match issue in macdRebalancing.R

Revision 1499 - Directory Listing
Modified Mon Aug 26 09:01:15 2013 UTC (5 years, 4 months ago) by opentrades
- renamed add.constraint to add.distribution.constraint


Revision 1489 - Directory Listing
Modified Tue Aug 13 14:51:33 2013 UTC (5 years, 5 months ago) by peter_carl
- added updateEndEq
- also view tradestats

Revision 1469 - Directory Listing
Modified Thu May 16 15:28:47 2013 UTC (5 years, 8 months ago) by opentrades
- to.minutes30() was called twice


Revision 1468 - Directory Listing
Modified Mon May 13 20:01:43 2013 UTC (5 years, 8 months ago) by opentrades
- small typo fix


Revision 1467 - Directory Listing
Modified Mon May 13 19:30:22 2013 UTC (5 years, 8 months ago) by opentrades
- chart.forward() improvements
- several small luxor improvements



Revision 1466 - Directory Listing
Modified Fri May 10 14:40:03 2013 UTC (5 years, 8 months ago) by opentrades
- added "anchored" parameter to walk.forward
- included luxor.8.walk.forward.R in the demos


Revision 1464 - Directory Listing
Modified Wed May 8 20:43:14 2013 UTC (5 years, 8 months ago) by opentrades
- 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 1461 - Directory Listing
Modified Tue May 7 22:09:11 2013 UTC (5 years, 8 months ago) by opentrades
- reset data dir and range to defaults


Revision 1460 - Directory Listing
Modified Tue May 7 22:07:51 2013 UTC (5 years, 8 months ago) by opentrades
- prettified tradeStats() using View(t(tradeStats(...)))


Revision 1459 - Directory Listing
Modified Tue May 7 21:27:03 2013 UTC (5 years, 8 months ago) by opentrades
- corrected default data dir


Revision 1458 - Directory Listing
Modified Tue May 7 21:07:07 2013 UTC (5 years, 8 months ago) by opentrades
- updated luxor demo headers


Revision 1457 - Directory Listing
Modified Tue May 7 20:46:47 2013 UTC (5 years, 8 months ago) by opentrades
- updated luxor demos


Revision 1456 - Directory Listing
Modified Tue May 7 20:45:41 2013 UTC (5 years, 8 months ago) by opentrades
- removed luxor demos (about to be replaced)


Revision 1448 - Directory Listing
Modified Wed Apr 24 19:52:23 2013 UTC (5 years, 8 months ago) by opentrades
- various improvements to luxor demos


Revision 1445 - Directory Listing
Modified Tue Apr 23 22:23:04 2013 UTC (5 years, 8 months ago) by braverock
- add tradeOrderStats
- update roxygen docs
- update NAMESPACE

Revision 1440 - Directory Listing
Modified Thu Apr 18 21:01:16 2013 UTC (5 years, 9 months ago) by opentrades
- more luxor demo reorganizing


Revision 1439 - Directory Listing
Modified Thu Apr 18 20:34:27 2013 UTC (5 years, 9 months ago) by opentrades
- adjusted more luxor demo code


Revision 1438 - Directory Listing
Modified Thu Apr 18 20:26:38 2013 UTC (5 years, 9 months ago) by opentrades
- added luxor.3.optimize.sma.R to apply.paramset() on SMA, using new apply.paramset() instead of old applyParameters()
- removed old luxor.3.Parameters.R and luxor.3.R
- introduced luxor.symbols.R to fetch symbol data
- adjusted luxor.1.strategy.R and luxor.3.optimize.sma.R accordingly


Revision 1437 - Directory Listing
Modified Thu Apr 18 20:08:22 2013 UTC (5 years, 9 months ago) by opentrades
- renamed luxor.strategy.R to luxor.1.strategy.R
- introduced luxor.2.add.paramsets.R


Revision 1436 - Directory Listing
Modified Wed Apr 17 11:01:33 2013 UTC (5 years, 9 months ago) by opentrades
- removed luxor.1.R, as the only diff with luxor.2.R is txnfees
- renamed luxor.2.R to luxor.strategy.R: the basic strategy
- adjusted luxor.3.Parameters.tradegraphs.R for new fixed.parameters


Revision 1429 - Directory Listing
Modified Sun Apr 7 21:29:51 2013 UTC (5 years, 9 months ago) by opentrades
- some small improvements 


Revision 1428 - Directory Listing
Modified Sat Apr 6 22:34:04 2013 UTC (5 years, 9 months ago) by gsee
 formatting: "\t" --> "  ", 80 margins, spaces between args, etc.

Revision 1425 - Directory Listing
Modified Sat Apr 6 13:09:42 2013 UTC (5 years, 9 months ago) by braverock
- fix labels to work with new match.names, clean up indentation
- convert commented risk exits to use order chains

Revision 1424 - Directory Listing
Modified Wed Apr 3 22:26:38 2013 UTC (5 years, 9 months ago) by opentrades
- fixed small typo (irrelevant for results)


Revision 1423 - Directory Listing
Modified Wed Apr 3 22:02:13 2013 UTC (5 years, 9 months ago) by opentrades
- fixed up luxor.1.R and luxor.2.R to use replace parameter instead of ordersets
- several other improvements in these demos


Revision 1420 - Directory Listing
Modified Mon Apr 1 16:02:29 2013 UTC (5 years, 9 months ago) by opentrades
- fix second SMA to use onlye the first Cl() column


Revision 1419 - Directory Listing
Modified Mon Apr 1 15:51:06 2013 UTC (5 years, 9 months ago) by braverock
- fix second SMA to use onlye the first Cl() column

Revision 1418 - Directory Listing
Modified Fri Mar 29 15:58:58 2013 UTC (5 years, 9 months ago) by braverock
- correct for missing TZ to agree w/ newer xts req.

Revision 1416 - Directory Listing
Modified Fri Mar 29 15:40:50 2013 UTC (5 years, 9 months ago) by braverock
- update PortfReturns, add daily frequency as default
- update faber demo to work with new PortfReturns

Revision 1394 - Directory Listing
Modified Tue Feb 12 18:55:56 2013 UTC (5 years, 11 months ago) by braverock
- fix ES definition for the demo, thanks to Joseph Dunn for noticing

Revision 1384 - Directory Listing
Modified Thu Jan 24 21:25:24 2013 UTC (5 years, 11 months ago) by opentrades
- fixed a couple of R CMD check warnings 


Revision 1381 - Directory Listing
Modified Wed Jan 23 17:23:02 2013 UTC (5 years, 11 months ago) by milktrader
adding txns in test_bee and all 52 tests passing

Revision 1376 - Directory Listing
Modified Mon Jan 21 23:41:11 2013 UTC (5 years, 11 months ago) by milktrader
stubbed new in_test blocks

Revision 1370 - Directory Listing
Modified Thu Jan 17 20:58:10 2013 UTC (6 years ago) by milktrader
all demos have 2 commented out test blocks that authors will need to uncomment

Revision 1361 - Directory Listing
Modified Tue Jan 15 16:30:50 2013 UTC (6 years ago) by braverock
- check for existence of in_test for supporting test wrappers

Revision 1358 - Directory Listing
Modified Tue Jan 15 14:52:28 2013 UTC (6 years ago) by milktrader
moved GBPUSD dir to inst/extdata and modified refs to /data in luxor* files

Revision 1357 - Directory Listing
Modified Tue Jan 15 13:42:04 2013 UTC (6 years ago) by braverock
- don't remove initDate

Revision 1356 - Directory Listing
Modified Tue Jan 15 13:11:18 2013 UTC (6 years ago) by braverock
- add temporary workaround for xts Date issue
- add parameter wrapper for in_test
- add calls to getOrderBook and tradeStats

Revision 1297 - Directory Listing
Modified Fri Dec 14 12:39:38 2012 UTC (6 years, 1 month ago) by braverock
- fix View for order book

Revision 1296 - Directory Listing
Modified Thu Dec 13 16:23:15 2012 UTC (6 years, 1 month ago) by braverock
- add SMA lines to chart

Revision 1265 - Directory Listing
Modified Sat Nov 24 21:34:43 2012 UTC (6 years, 1 month ago) by opentrades
fixed bug to source('luxor.strategy.R') io luxor.basic.R


Revision 1264 - Directory Listing
Modified Sat Nov 24 20:45:07 2012 UTC (6 years, 1 month ago) by opentrades
add luxor.strategy.R to build the basic luxor strategy object
adjusted luxor.StopLoss.R to pont to correct data path


Revision 1261 - Directory Listing
Modified Thu Nov 22 02:43:21 2012 UTC (6 years, 1 month ago) by opentrades
introduced 'revoked' order status
changed ruleCancel() to ruleRevoke(); revokes all open orders when pos==0
useful eg. with timespan in add.rule() to close open enter orders at end of day


Revision 1260 - Directory Listing
Modified Thu Nov 22 02:05:41 2012 UTC (6 years, 1 month ago) by braverock
- use timestamp rather than character timespan in ruleOrderProc
- remove obsolete code
- add rebalancing examples
- update roxygen docs

Revision 1254 - Directory Listing
Modified Mon Nov 19 21:15:44 2012 UTC (6 years, 2 months ago) by braverock
- clean up before adding rebalancing

Revision 1231 - Directory Listing
Modified Fri Oct 26 21:07:53 2012 UTC (6 years, 2 months ago) by opentrades
- 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 1230 - Directory Listing
Modified Mon Oct 22 23:21:13 2012 UTC (6 years, 2 months ago) by opentrades
minor changes to orderchains.R
added some demo's:
- luxor.exits.R contains code for the paramsets
- luxor.StopLoss.R computes stop-loss paramset
- luxor.StopTrailing.R computes stop-trailing-loss paramset
- luxor.TakeProfit.R computes take-profit paramset


Revision 1219 - Directory Listing
Modified Thu Oct 11 22:21:01 2012 UTC (6 years, 3 months ago) by braverock
- fix rsi demo to work with newer fn defaults
- initial commit of applyStrategy.rebalancing
- avoid dindex buffer overflow in ruleSignal

Revision 1218 - Directory Listing
Modified Thu Oct 11 20:47:44 2012 UTC (6 years, 3 months ago) by opentrades
- changed parameter names in setParameterDistribution() 
- improved doc somewhat


Revision 1217 - Directory Listing
Modified Thu Oct 11 19:57:02 2012 UTC (6 years, 3 months ago) by opentrades
- setParameterDistribution() now uses component label instead of index numbers
- fixed up demos to use new syntax


Revision 1214 - Directory Listing
Modified Sat Oct 6 21:25:57 2012 UTC (6 years, 3 months ago) by opentrades
added require(quantstrat) to rsi.R


Revision 1213 - Directory Listing
Modified Sat Oct 6 18:02:55 2012 UTC (6 years, 3 months ago) by braverock
- fix problem apparently related to changes in exit handling

Revision 1212 - Directory Listing
Modified Sat Oct 6 17:47:08 2012 UTC (6 years, 3 months ago) by braverock
- fix for change in column name in tradeStats fn

Revision 1211 - Directory Listing
Modified Sat Oct 6 17:37:10 2012 UTC (6 years, 3 months ago) by braverock
- fix cut and paste error

Revision 1207 - Directory Listing
Modified Tue Oct 2 20:46:09 2012 UTC (6 years, 3 months ago) by opentrades
adjusted luxor.orderchains.R to use stoplimit orders for stop-loss and stop-enter, and limit for take profit


Revision 1203 - Directory Listing
Modified Sun Sep 30 05:53:17 2012 UTC (6 years, 3 months ago) by braverock
- update roxygen docs
- fix demo index
- bump version

Revision 1198 - Directory Listing
Modified Thu Sep 27 23:43:08 2012 UTC (6 years, 3 months ago) by opentrades
- implemented stopenter orders
- modified luxor.orderchains.R to use stopenter orders


Revision 1194 - Directory Listing
Modified Sun Sep 23 11:48:25 2012 UTC (6 years, 3 months ago) by braverock
- update copyrights

Revision 1173 - Directory Listing
Modified Mon Sep 10 12:42:07 2012 UTC (6 years, 4 months ago) by opentrades
added currency instrument definition to luxor-3-16 MFE demo


Revision 1172 - Directory Listing
Modified Mon Sep 10 12:24:59 2012 UTC (6 years, 4 months ago) by braverock
- define the instrument to perTradeStats doesn't complain

Revision 1161 - Directory Listing
Modified Thu Sep 6 16:33:35 2012 UTC (6 years, 4 months ago) by opentrades
fixed OHLC stoptrailing orders in quantstrat
demo/luxor.orderchains.R now also demonstrating StopTrailing orders


Revision 1155 - Directory Listing
Modified Wed Sep 5 15:04:57 2012 UTC (6 years, 4 months ago) by opentrades
corrected data dir for demo


Revision 1152 - Directory Listing
Modified Tue Sep 4 19:27:09 2012 UTC (6 years, 4 months ago) by opentrades
added support for orderchains in add.rule() - see: demo/luxor.orderchains.R
removed "entry" ruletype


Revision 1144 - Directory Listing
Modified Wed Aug 29 00:29:07 2012 UTC (6 years, 4 months ago) by opentrades
added/modified luxor demo's for figures 3.11, 3.12 and 3.16 to use new blotter::chart.ME() for MAE and MFE charts


Revision 1140 - Directory Listing
Modified Tue Aug 28 01:45:37 2012 UTC (6 years, 4 months ago) by opentrades
quantstrat/demo/luxor-3.11.R now uses data() to retrieve demo data from data dir


Revision 1139 - Directory Listing
Modified Tue Aug 28 01:25:39 2012 UTC (6 years, 4 months ago) by opentrades
moved luxor-3.09.RData to data dir, but now demo('luxor-3.11.R') is broken :(

instead use setwd('<...>/quantstart/demo'), then source('luxor-3.11.R') until
we find a better solution for the data


Revision 1138 - Directory Listing
Modified Tue Aug 28 01:16:02 2012 UTC (6 years, 4 months ago) by opentrades
Added:
* Luxor figure 3.11 (MAE graph) 
* portfolio results from figure 3.09 (used by 3.11)


Revision 1136 - Directory Listing
Modified Sun Aug 26 13:30:15 2012 UTC (6 years, 4 months ago) by braverock
- add comments for using doParallel, demo will run single threaded for now

Revision 1135 - Directory Listing
Modified Sun Aug 26 13:28:35 2012 UTC (6 years, 4 months ago) by braverock
- add comments describing using doParallel in the demos, demos will run single threaded by default for now

Revision 1125 - Directory Listing
Modified Wed Aug 8 13:31:48 2012 UTC (6 years, 5 months ago) by opentrades
moved the luxor demo's back into the demo dir and updated 00Index


Revision 1124 - Directory Listing
Modified Wed Aug 8 12:07:15 2012 UTC (6 years, 5 months ago) by opentrades
reworked luxor demos, put them in separate subdir, added timespan analysis, included some scan result object in data dir

Revision 1116 - Directory Listing
Modified Thu Aug 2 15:32:33 2012 UTC (6 years, 5 months ago) by opentrades
moved GBPUSD data from sandbox to data dir and adjusted demo/luxor.R

Revision 1113 - Directory Listing
Modified Tue Jul 31 22:56:52 2012 UTC (6 years, 5 months ago) by opentrades
new tradeGraphs.R version in demo

Revision 1111 - Directory Listing
Modified Tue Jul 31 19:03:41 2012 UTC (6 years, 5 months ago) by opentrades
added tradeGraphs() function

Revision 1110 - Directory Listing
Modified Mon Jul 30 11:00:47 2012 UTC (6 years, 5 months ago) by opentrades
added rgl graphs for luxor plus some test data to demos

Revision 1107 - Directory Listing
Modified Thu Jul 19 20:34:47 2012 UTC (6 years, 6 months ago) by opentrades
made quantstrat/demo/luxor.R to work out-of-the-box with sandbox data again


Revision 1105 - Directory Listing
Modified Tue Jul 10 14:47:17 2012 UTC (6 years, 6 months ago) by opentrades
added new versions for luxor.R and luxorParameters.R


Revision 1101 - Directory Listing
Modified Fri Jul 6 13:46:05 2012 UTC (6 years, 6 months ago) by opentrades
added bee.R to the demo dir


Revision 1098 - Directory Listing
Modified Tue Jul 3 17:45:36 2012 UTC (6 years, 6 months ago) by opentrades
* small changes for luxor.R
* first commit for luxorParameters.R


Revision 1097 - Directory Listing
Modified Sun Jul 1 00:30:39 2012 UTC (6 years, 6 months ago) by braverock
- add example of osMaxPos and addPosLimit to bbands demo

Revision 1096 - Directory Listing
Modified Sat Jun 30 21:35:14 2012 UTC (6 years, 6 months ago) by braverock
- wrap with print() so they'll work in source()

Revision 1095 - Directory Listing
Modified Sat Jun 30 21:33:50 2012 UTC (6 years, 6 months ago) by braverock
- make demo less verbose
- process verbose argument in applyParameters
- change to doParallel in comments
- show how to get stats table

Revision 1085 - Directory Listing
Modified Thu Jun 28 13:25:15 2012 UTC (6 years, 6 months ago) by opentrades
luxor now pointing to sandbox for data


Revision 1084 - Directory Listing
Modified Thu Jun 28 13:20:55 2012 UTC (6 years, 6 months ago) by opentrades
updated luxor demo, now correctly running using latest quantstrat svn r1082


Revision 1064 - Directory Listing
Modified Thu Jun 21 15:42:25 2012 UTC (6 years, 6 months ago) by bodanker
- Set TZ environment variable in rocema.R

Revision 1063 - Directory Listing
Modified Thu Jun 21 13:43:54 2012 UTC (6 years, 6 months ago) by opentrades
* modified rocema.R and luxor.p3_2.R to use data from sandbox dir
* added 2002.10.*.GPBUSD.rda data to sandbox


Revision 1061 - Directory Listing
Modified Thu Jun 21 12:55:27 2012 UTC (6 years, 6 months ago) by opentrades
* changed rocema.R to use --vanilla and define instruments, now with ES future, and options(width = 240)
* changed luxor.p3_2.R to use --vanilla and define instruments, now with ES future, and options(width = 240)


Revision 1060 - Directory Listing
Modified Thu Jun 21 12:27:03 2012 UTC (6 years, 6 months ago) by opentrades
added rocema strategy to demonstrate ordersets and stop and reverse


Revision 1059 - Directory Listing
Modified Wed Jun 20 21:26:51 2012 UTC (6 years, 7 months ago) by opentrades
* now using --vanilla and defining instruments in code
* added tradeStats()


Revision 1054 - Directory Listing
Modified Sun Jun 17 15:22:24 2012 UTC (6 years, 7 months ago) by opentrades
added luxor demo first version (paragraph 3.2 of Jaekle / Tomasini)


Revision 1020 - Directory Listing
Modified Tue May 8 15:26:31 2012 UTC (6 years, 8 months ago) by braverock
- add further code to call osFUN when required, and not when not.  patch from Jan Humme
- fix qty to numeric in addOrder to support order sets
- re-expose pair_trade demo, since it works again

Revision 1010 - Directory Listing
Modified Fri May 4 11:55:18 2012 UTC (6 years, 8 months ago) by braverock
- improve order sets functionality to provide OCO (one cancels other) capability.
	many thanks to Jan Humme (OpenTrades) for much of the code

Revision 1008 - Directory Listing
Modified Thu May 3 15:47:08 2012 UTC (6 years, 8 months ago) by gsee
remove pair_trade demo until order-sizing functionality is restored.

Revision 988 - Directory Listing
Modified Sun Mar 25 20:29:29 2012 UTC (6 years, 9 months ago) by braverock
- make stoplimit more stable by making qty numeric
- add same basic handling for stoptrailing, not sure this functionality is completely working again yet
- add version of macd demo with example rules

Revision 965 - Directory Listing
Modified Mon Mar 5 16:05:30 2012 UTC (6 years, 10 months ago) by braverock
- comment stoplimit until I can get them fixed

Revision 962 - Directory Listing
Modified Sun Mar 4 20:09:15 2012 UTC (6 years, 10 months ago) by braverock
- update parameter tests to not require doSMP, add notes about configuring parallel backend to foreach
- rename parameter tests
- add to 00index

Revision 776 - Directory Listing
Modified Tue Sep 13 02:22:14 2011 UTC (7 years, 4 months ago) by gsee
 typos

Revision 733 - Directory Listing
Modified Sun Aug 21 11:59:22 2011 UTC (7 years, 5 months ago) by braverock
- require foreach

Revision 729 - Directory Listing
Modified Fri Aug 12 20:22:58 2011 UTC (7 years, 5 months ago) by cyrforge
Some miner changes on demo.

Revision 692 - Directory Listing
Modified Thu Jul 21 23:00:07 2011 UTC (7 years, 6 months ago) by cyrforge
Miner changes for running parallel, example use doSMP.

Revision 689 - Directory Listing
Modified Wed Jul 20 21:29:34 2011 UTC (7 years, 6 months ago) by cyrforge
Changed the demo, no need to run setParameterDistribution() without argument to initialize a parameter distribution object.

Revision 687 - Directory Listing
Modified Wed Jul 20 21:26:22 2011 UTC (7 years, 6 months ago) by cyrforge
Add comments 
Try to implement parallel execution  in applyParameter , but still need to solve the error.

Revision 663 - Directory Listing
Modified Fri Jul 8 01:01:52 2011 UTC (7 years, 6 months ago) by cyrforge
Demo, run after macd.R. 
Used to test parameter constraints filter in parameter sample generating.

Revision 662 - Directory Listing
Modified Fri Jul 8 01:00:35 2011 UTC (7 years, 6 months ago) by cyrforge
add parameter sample uniqueness check.
add parameter constraint functionality and check.
add regenerate sample to total sample size as some samples will be filtered out.

Revision 653 - Directory Listing
Modified Wed Jun 29 20:23:11 2011 UTC (7 years, 6 months ago) by cyrforge
Demo for parameter generating and testing, run after bbands demo

Revision 642 - Directory Listing
Modified Sat Jun 25 20:53:58 2011 UTC (7 years, 6 months ago) by gsee
-exchange rate patches.

Revision 641 - Directory Listing
Modified Sat Jun 25 20:18:41 2011 UTC (7 years, 6 months ago) by gsee
for now, using replace=FALSE to avoid calling updateOrders with incorrect orderside.

Revision 639 - Directory Listing
Modified Fri Jun 24 14:29:06 2011 UTC (7 years, 6 months ago) by gsee
-gte instead of gt in demos: helpful with higher frequency data where columns may often be equal.
-added my name

Revision 621 - Directory Listing
Modified Thu Jun 9 23:18:04 2011 UTC (7 years, 7 months ago) by gsee
-Replaced try rm with suppressWarnings in demo cleanup. No more warnings in demos!!! :)
-Corrected yahoo ticker for S&P 500 in faberMC

Revision 605 - Directory Listing
Modified Sat May 21 14:05:33 2011 UTC (7 years, 8 months ago) by braverock
- updates to pairs demo from Garrett See

Revision 602 - Directory Listing
Modified Tue May 10 02:45:43 2011 UTC (7 years, 8 months ago) by braverock
- add new pair_trade demo script that demonstrates a custom indicator and order sizing function
- provided by Garrett See  <gsee000 <at> gmail <dot> com >

Revision 599 - Directory Listing
Modified Thu Apr 28 14:57:19 2011 UTC (7 years, 8 months ago) by braverock
- update to add tradeStats and charts.PerformanceSummary

Revision 542 - Directory Listing
Modified Thu Jan 27 04:35:57 2011 UTC (7 years, 11 months ago) by bodanker
- Attempt to evaluate rule types in the order listed in ?add.rule. Thanks
  to Aleksandr Rudnev for locating the issue.
- Adjust data for splits/dividends in maCross demo.

Revision 450 - Directory Listing
Modified Sat Nov 13 18:30:40 2010 UTC (8 years, 2 months ago) by braverock
- minor updates to demo code

Revision 420 - Directory Listing
Modified Tue Oct 12 17:33:09 2010 UTC (8 years, 3 months ago) by braverock
- explicitly pass tmult as argument to ruleSignal
- change macd demo to demonstrate stoplimit order at threshold multiplier

Revision 389 - Directory Listing
Modified Wed Sep 8 20:36:08 2010 UTC (8 years, 4 months ago) by braverock
- add multi-currency Faber example script

Revision 374 - Directory Listing
Modified Tue Aug 17 18:43:35 2010 UTC (8 years, 5 months ago) by braverock
- vectorize updatePosPL
- update demos to show more timing information

Revision 371 - Directory Listing
Modified Thu Aug 12 20:18:09 2010 UTC (8 years, 5 months ago) by braverock
- update demos

Revision 370 - Directory Listing
Modified Thu Aug 12 13:52:05 2010 UTC (8 years, 5 months ago) by braverock
- update demos
- fix RSI demo, which was broken

Revision 369 - Directory Listing
Modified Thu Aug 12 11:44:00 2010 UTC (8 years, 5 months ago) by braverock
- set default for data param in signals and rules, should simplify strat creation
- update docs
- revise demos to conform to new defaults

Revision 362 - Directory Listing
Modified Wed Jul 28 16:47:39 2010 UTC (8 years, 5 months ago) by braverock
- rename demos to not collide with TTR function names
- add example of stoplimit order rule to macd demo
- minor updates 

Revision 361 - Directory Listing
Modified Tue Jul 27 14:06:38 2010 UTC (8 years, 5 months ago) by braverock
- convert to use parameters

Revision 360 - Directory Listing
Modified Mon Jul 26 19:08:35 2010 UTC (8 years, 5 months ago) by braverock
- add parameter support for passing parameters at evaluation-time
- update BBands demo to use parameters
- update docs

Revision 359 - Directory Listing
Modified Thu Jul 22 12:22:24 2010 UTC (8 years, 6 months ago) by braverock
- add additional commented rules to handle the short side of a stop and reverse trade strategy

Revision 358 - Directory Listing
Modified Wed Jul 21 16:46:46 2010 UTC (8 years, 6 months ago) by braverock
- add MA-cross strategy demo from R. Raghuraman ("Raghu")

Revision 356 - Directory Listing
Modified Mon Jul 19 13:53:53 2010 UTC (8 years, 6 months ago) by braverock
- add RSI(2) and MACD trend strategy examples

Revision 340 - Directory Listing
Modified Tue Jun 15 15:39:18 2010 UTC (8 years, 7 months ago) by braverock
- remove simplestrat

Revision 309 - Directory Listing
Modified Sun Mar 28 15:38:49 2010 UTC (8 years, 9 months ago) by braverock
- update to use new quantmod charts instead of the old ones

Revision 289 - Directory Listing
Modified Tue Mar 16 15:29:48 2010 UTC (8 years, 10 months ago) by braverock
- update descriptions

Revision 288 - Directory Listing
Modified Tue Mar 16 14:38:55 2010 UTC (8 years, 10 months ago) by peter_carl
- added faber demo

Revision 287 - Directory Listing
Modified Tue Mar 16 14:37:31 2010 UTC (8 years, 10 months ago) by peter_carl
- demo of a long term trend system

Revision 282 - Directory Listing
Modified Sun Mar 14 17:09:15 2010 UTC (8 years, 10 months ago) by braverock
- move setup strings to top of file

Revision 281 - Directory Listing
Modified Tue Mar 9 23:19:16 2010 UTC (8 years, 10 months ago) by bodanker
- match.names() now matches the end of the column name string, to avoid
  more than one match if other columns contain OHLCV names.
- Updated sigCrossover to handle more than one column.
- Changed column(s) in sigComparison, sigPeak, sigThreshold to colNum(s)
  to avoid clashing with the respective function formals.
- Added a check/error to sigComparison for "Close" in columns formal when
  relationship=='op'.
- Fiddled with (data mined) the BBands example to make it profitable.

Revision 272 - Directory Listing
Modified Fri Feb 26 17:35:22 2010 UTC (8 years, 10 months ago) by braverock
- update names to 'bbands' for this demo

Revision 271 - Directory Listing
Modified Fri Feb 26 15:08:19 2010 UTC (8 years, 10 months ago) by braverock
- move simplestrat to BBands

Revision 268 - Directory Listing
Modified Fri Feb 26 14:17:24 2010 UTC (8 years, 10 months ago) by braverock
- fix updateOrderMatrix fn

Revision 267 - Directory Listing
Modified Fri Feb 26 13:56:01 2010 UTC (8 years, 10 months ago) by braverock
- wrap BBands in plot so it will graph from inside function scope like 'source' or 'demo'

Revision 266 - Directory Listing
Modified Fri Feb 26 13:52:39 2010 UTC (8 years, 10 months ago) by braverock
- changes so addTxn works properly

Revision 265 - Directory Listing
Modified Thu Feb 25 22:51:04 2010 UTC (8 years, 10 months ago) by braverock
- more fixes towards generating txns from orders

Revision 263 - Directory Listing
Modified Thu Feb 25 15:47:24 2010 UTC (8 years, 10 months ago) by braverock
- add code showing how to examine order book
- add copyright and license

Revision 260 - Directory Listing
Modified Wed Feb 24 23:01:02 2010 UTC (8 years, 10 months ago) by braverock
- multiple small fixes to make applyStrategy() run without error

Revision 258 - Directory Listing
Modified Wed Feb 24 20:40:24 2010 UTC (8 years, 10 months ago) by braverock
- multiple small fixes to make applyStrategy() run without error

Revision 255 - Directory Listing
Modified Tue Feb 23 22:43:43 2010 UTC (8 years, 10 months ago) by braverock
- now add order rules

Revision 228 - Directory Listing
Modified Fri Feb 5 16:58:29 2010 UTC (8 years, 11 months ago) by braverock
- implement sigCrossover
- add documentation

Revision 226 - Directory Listing
Modified Thu Feb 4 16:29:07 2010 UTC (8 years, 11 months ago) by braverock
- clean up function name matching
- update demo script

Revision 224 - Directory Listing
Modified Wed Feb 3 21:32:54 2010 UTC (8 years, 11 months ago) by braverock
- add code to add signals
- add arbitrary text labels to signals and indicators
- add to demo code

Revision 222 - Directory Listing
Added Tue Feb 2 03:25:09 2010 UTC (8 years, 11 months ago) by peter_carl
- first draft of strategy framework

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