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

[amarjit chandhial]

Am throwing this open to all on the quantstrat team, or others.
 
 
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: Sunday, 18 May 2014, 9:59
>Subject: [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
>
>
>
>  
>Via  the TIMEFILTER program, tradestats e.g. Gross.Profits are:
> 
>T07:00/T20:00    Gross.Profits    1571.112
>T08:00/T21:00    Gross.Profits     601.9379 
>T09:00/T22:00    Gross.Profits     601.9379 
>T10:00/T23:00    Gross.Profits     783.9936
> 
> 
> 
>
>I have altered add.distribution in the TIMESPAN program
> 
> add.distribution(strategy.st,
>                        paramset.label = 'Timespan',
>                        component.type = 'indicator',     # one of c('indicator', 'signal', 'order', 'enter', 'exit', 'chain')  --- have tried all of these!
>                        component.label = 'timespan',
>                        variable = list(n = .timespans),
>                        label = 'TIMESPAN')
>
> 
>
>
>However, the tradestats remain only for T07:00/T20:00.
> 
> 
>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, 13:50
>>Subject: [R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
>>
>>
>>
>>
>>
>>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 
>>>_______________________________________________
>>>R-SIG-Finance at r-project.org mailing list
>>>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>-- Subscriber-posting only. If you want to post, subscribe first.
>>>-- Also note that this is not the r-help list where general R questions should go.
>>>
>>>
>>_______________________________________________
>>R-SIG-Finance at r-project.org mailing list
>>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>-- Subscriber-posting only. If you want to post, subscribe first.
>>-- Also note that this is not the r-help list where general R questions should go.
>>
>>
>_______________________________________________
>R-SIG-Finance at r-project.org mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>-- Subscriber-posting only. If you want to post, subscribe first.
>-- Also note that this is not the r-help list where general R questions should go.
>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140520/a908d57d/attachment.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: ac_stochOSC_OBOS_GBPUSD_vanilla_TIMEFILTER.R
Type: application/octet-stream
Size: 7604 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140520/a908d57d/attachment.obj>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: ac_stochOSC_OBOS_GBPUSD_vanilla_TIMESPAN.R
Type: application/octet-stream
Size: 3735 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140520/a908d57d/attachment-0001.obj>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: GBPUSDstoch.RData
Type: application/x-gzip-compressed
Size: 25945 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140520/a908d57d/attachment.bin>