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

[amarjit chandhial]

A reminder.
Amarjit
----Original message----
>From : a.chandhial at btinternet.com
Date : 18/05/2014 - 09:59 (GMTDT)
To : ilya.kipnis at gmail.com, r-sig-finance at r-project.org
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 
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