[R-SIG-Finance] quantstrat - luxor.8 periodic optimization & walk-forward procedure

[Guy Yollin]

Amarjit,

I'm pretty sure that you can get the luxor.8.walk.forward.R script to 
run successfully as follows:
1. execute luxor.5.strategy.ordersets.R which saves the strategy
2. modify the the period argument in the call to walk.forward() to be 
period='days'

Good luck with this.

G


On 8/31/2014 12:13 AM, amarjit chandhial wrote:
>
>
> I cannot get quantstrat's luxor.8 periodic optimization & walk-forward 
> procedure, in the demos working.
>
>
> The idea being akin to the following diagram:
>
> http://www.tradestation.com/trading-technology/tradestation-platform/analyze/walk-forward-optimizer
>
>
> The error I get is,
>
> Error in if (!all(i <= 0)) stop("only zeros may be mixed with negative 
> subscripts") :
>   missing value where TRUE/FALSE needed
>
>
> If anybody can please email a working program.
>
>
>
> Otherwise, what I am really after is a demo with the workflow:
>  - a simple vanilla technical stratgey - I can do
>  - In-sample optimization of parameter(s) of simple strategy, 
> Out-of-sample run - I can do
>  - periodic optimization & walk-forward procedure
>
>
>
>
> Amarjit
>
>
>
>
>
>
>
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