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View of /pkg/quantstrat/demo/luxor.2.add.paramsets.R

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Revision 1515 - (download) (annotate)
Thu Oct 3 08:11:20 2013 UTC (5 years, 8 months ago) by erastus
File size: 1637 byte(s)
- luxor source/load path wrangling, moved ES data for forthcoming load()ing via http, other small fixes
#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)

require(quantstrat)

##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
#  # use test dates
#  {initDate="2011-01-01" 
#  endDate="2012-12-31"   
#  } else
#  # use demo defaults
#  {initDate="1999-12-31"
#  endDate=Sys.Date()}

source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))

###

strategy.st <- 'luxor'

###

load.strategy(strategy.st)

### SMA paramset

add.distribution(strategy.st,
	paramset.label = 'SMA',
	component.type = 'indicator',
	component.label = 'nFast',
	variable = list(n = .FastSMA),
	label = 'nFAST'
)

add.distribution(strategy.st,
	paramset.label = 'SMA',
	component.type = 'indicator',
	component.label = 'nSlow',
	variable = list(n = .SlowSMA),
	label = 'nSLOW'
)

add.distribution.constraint(strategy.st,
	paramset.label = 'SMA',
	distribution.label.1 = 'nFAST',
	distribution.label.2 = 'nSLOW',
	operator = '<',
	label = 'SMA'
)

### Timespan paramset

add.distribution(strategy.st,
	paramset.label = 'Timespan',
	component.type = 'rule',
	component.label = 'timespan',
	variable = list(n = .timespans),
	label = 'Timespan'
)

###

save.strategy(strategy.st)

##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ################### 
# book  = getOrderBook(port)
# stats = tradeStats(port)
# rets  = PortfReturns(acct)
################################################################

root@r-forge.r-project.org
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