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View of /pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R

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Revision 1734 - (download) (annotate)
Fri Mar 11 16:31:38 2016 UTC (2 years, 11 months ago) by bodanker
File size: 1700 byte(s)
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.
#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012
#
# 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)
#
# compute StopTrailing percentage for various paramsets

require(quantstrat)

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

###

initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
addPosLimit(
            portfolio=portfolio.st,
            symbol='GBPUSD',
            timestamp=startDate,
            maxpos=.orderqty)

initAcct(account.st, portfolios=portfolio.st, currency='USD')

###

initOrders(portfolio.st)

load.strategy(strategy.st)

### BEGIN uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules

enable.rule('luxor', 'chain', 'StopLoss')
enable.rule('luxor', 'chain', 'StopTrailing')
#enable.rule('luxor', 'chain', 'TakeProfit')

### END uncomment lines to activate StopLoss and/or StopTrailing and/or TakeProfit rules
require(foreach)
#registerDoSEQ()

if (!"doMC" %in% installed.packages()[,1]) {
    install.packages("doMC")
}
require(doMC)
registerDoMC(cores=2)

#require(doParallel)
#registerDoParallel(cores=2)

#require(doRedis)
#registerDoRedis('jobs')

############################

results <- apply.paramset(strategy.st, paramset.label='StopTrailing', portfolio.st=portfolio.st, account.st=account.st, nsamples=80, verbose=TRUE)

stats <- results$tradeStats

print(t(stats))

plot(100*stats$StopTrailingLONG, stats$Net.Trading.PL, type='b', xlab='StopTrailing %', ylab='Net.Trading.PL', main='Luxor')

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