[R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & optimization

[amarjit chandhial]

Can someone provide guidance on getting the optimization working.


Amarjit



 
----- Forwarded Message -----
From: amarjit chandhial <a.chandhial at btinternet.com>
To: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org> 
Sent: Thursday, 10 April 2014, 22:26
Subject: [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization
  




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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