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[blotter] Annotation of /pkg/quantstrat/demo/parameterTestMACD.R
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Annotation of /pkg/quantstrat/demo/parameterTestMACD.R

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1 : cyrforge 663 # TODO: Add comment
2 :     #
3 :     # Author: CCD
4 :     ###############################################################################
5 :    
6 : cyrforge 687 source("D:\\Documents\\GoogleCode\\Workspace\\quantstrat\\R\\parameters.R")
7 : cyrforge 663
8 :     #please run macd demo before all these...
9 :     paramStructure<-getParameterTable(stratMACD)
10 :    
11 :     tPD2<-setParameterDistribution()
12 :     tPD2
13 :    
14 :     # Just provide leagal values and use random sampling.
15 :     tPD2<-setParameterDistribution(tPD2,'indicator',indexnum=1,distribution=list(nFast=(10:30)),label='nFast')
16 :     #make them over lap from 20 to 30 to test.
17 :     tPD2<-setParameterDistribution(tPD2,'indicator',indexnum=1,distribution=list(nSlow=(20:40)),label='nSlow')
18 :     tPD2<-setParameterDistribution(tPD2,'signal',indexnum=1,distribution=list(relationship=c('gt','gte')),label='sig1.gtgte')
19 :    
20 :     pConstraint2<-setParameterConstraint(constraintLabel='macdPC',paramList=c('nFast','nSlow'),relationship='lt')
21 :    
22 :    
23 :    
24 : cyrforge 687 #testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2)
25 :     #system.time(testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2))
26 :    
27 :     require(foreach)
28 :     require(doSMP)
29 :     #
30 :     #workers <- startWorkers(2) # My computer has 2 cores
31 :     #registerDoSMP(workers)
32 :    
33 :     laststpar<-system.time(testPackList3<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=2,parameterConstrains=pConstraint2))
34 :     laststpar
35 :     #
36 :     #stopWorkers(workers)
37 :     #rmSessions(all=TRUE)
38 :    
39 :    
40 :    
41 :    
42 :    

root@r-forge.r-project.org
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