[R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization
amarjit chandhial
a.chandhial at btinternet.com
Thu Apr 10 23:26:44 CEST 2014
All,
Iiya and I have implemented a stochastic oscillator OBOS strategy within quantstrat.
I have then applied quantstrat's intraday GBPUSD data, 30min frequency with the strategy, including transaction costs (as in the other demos).
Thereafter I have attempted to optimize various values e.g.
(i) nSlowD, vary from 1-to-10
(ii) the lower level (over-sold) vary from .10-to-.30
(ii) the upper level (over-bought) vary from .70-to-.90
I get the error
error calling combine function:
<simpleError in fun(result.1, result.2, result.3, result.4, result.5, result.6, result.7, result.8, result.9,..., result.100): attempt to select less than one element>
Attached are both programs: initial strategy and optimization.
An error corresponding to this from last month http://r-forge.r-project.org/forum/forum.php?set=custom&forum_id=1032&style=nested&max_rows=100&submit=Change+View
Please help!
Amarjit
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