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

[amarjit chandhial]

Opps, forgot the .RData strategy file for the TIMESPAN program.
 
 
Amarjit
 
 
 
----- Forwarded Message -----
>From: amarjit chandhial <a.chandhial at btinternet.com>
>To: "ilya.kipnis at gmail.com" <ilya.kipnis at gmail.com>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org> 
>Sent: Friday, 16 May 2014, 12:53
>Subject: [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
>
>
>
>
>
>Hi Ilya,
>
>
>Have returned with our stochastic oscillator OBOS strategy.
>
>Where we were last time was optimizing nSlowD & the OBOS thresholds. I will guess that everything was correct there, inequalities etc, if not let me know! Therefore I'll carry-on with including a timefilter to our strategy and optimizing timespans (various timefilters). As this is for demo and given only a few days of intraday data the values for nSlowD and OBOS thresholds can remain at 5, 80, & 20, respectively (ordinarily this'll be on the optimized values). I have also uncommented the short-side as we have an fx rate GBPUSD, not a stock.
>
>
>Attached:
>(1) Vanilla + inclusion of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. This appears to be filtering correctly.
>(2)  Various timefilters i.e. timespans for optimization. Although the program runs, it does not appear to be optimizing. I am having problems with add.distribution and apply.paramset functions. Please help!
> 
>
>
>Amarjit 
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