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[blotter] Annotation of /pkg/quantstrat/demo/luxor.sample.walk.forward.R
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Annotation of /pkg/quantstrat/demo/luxor.sample.walk.forward.R

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1 : opentrades 1464 #!/usr/bin/Rscript --vanilla
2 :     #
3 :     # Jan Humme (@opentrades) - August 2012
4 :     #
5 :     # Tested and found to work correctly using blotter r1457
6 :     #
7 :     # After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
8 :     #
9 :     # Walk forward chart sample
10 :    
11 :     require('quantstrat')
12 :    
13 : bodanker 1718 chart.forward.training(paste0(path.package("quantstrat"),'/data/luxor.wfa.ples.RData'))
14 : opentrades 1464
15 :     ##### PLACE DEMO AND TEST DATES HERE #################
16 :     #
17 :     #if(isTRUE(options('in_test')$in_test))
18 :     # # use test dates
19 :     # {initDate="2011-01-01"
20 :     # endDate="2012-12-31"
21 :     # } else
22 :     # # use demo defaults
23 :     # {initDate="1999-12-31"
24 :     # endDate=Sys.Date()}
25 :    
26 :     ##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
27 :     # book = getOrderBook(port)
28 :     # stats = tradeStats(port)
29 :     # rets = PortfReturns(acct)
30 :     ################################################################

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