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

Mon Sep 1 09:11:27 CEST 2014

Many thanks for getting back to me Guy. I should have noticed the frequency! Anyways it's got me started on proper strategy design in quantstrat.

UBUNTU
----------

Running on Ubuntu 14.10, I get past the 1st in-sample training and 1st out-of-sample WFA testing, however an error thereafter

[1] "=== training WFA on 2002-10-21 00:30:00/2002-10-22 23:30:00"
[1] "=== testing param.combo 1 on 2002-10-23/2002-10-23 23:30:00"
  nFAST nSLOW
1     1    42
[1] "=== training WFA on 2002-10-22/2002-10-23 23:30:00"
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.10, result.11, result.12,     result.13,
result.14, result.15): attempt to select less than one element>
Error in walk.forward(strategy.st, paramset.label = "WFA", portfolio.st = portfolio.st,  : 
  obj.func() returned empty result
In addition: Warning message:
In max(x$tradeStats$Net.Trading.PL) :
  no non-missing arguments to max; returning -Inf

WINDOWS
------------

Running on Windows, I get past the 1st in-sample training  then get problems at the 1st out-of-sample testing with the file 'wfa.GBPUSD.2002-10-21 00:30:00.2002-10-22 23:30:00.RData'

[1] "=== training WFA on 2002-10-21 00:30:00/2002-10-22 23:30:00"
  nFAST nSLOW
1     1    42
[1] "2002-10-22 02:00:00 GBPUSD 1e+05 @ 1.545"
[1] "2002-10-22 16:30:00 GBPUSD -1e+05 @ 1.5453"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5448"
  nFAST nSLOW
2     3    42
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.547"
[1] "2002-10-22 17:00:00 GBPUSD -1e+05 @ 1.5453"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5447"
  nFAST nSLOW
3     5    42
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.547"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5435"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5447"
  nFAST nSLOW
4     7    42
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.547"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
  nFAST nSLOW
5     9    42
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:30:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5425"
  nFAST nSLOW
6     1    44
[1] "2002-10-22 02:00:00 GBPUSD 1e+05 @ 1.545"
[1] "2002-10-22 17:00:00 GBPUSD -1e+05 @ 1.5453"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5447"
  nFAST nSLOW
7     3    44
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.547"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5435"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5447"
  nFAST nSLOW
8     5    44
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
  nFAST nSLOW
9     7    44
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
   nFAST nSLOW
10     9    44
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:30:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5425"
   nFAST nSLOW
11     1    46
[1] "2002-10-22 02:00:00 GBPUSD 1e+05 @ 1.545"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5435"
[1] "2002-10-22 17:30:00 GBPUSD -1e+05 @ 1.5447"
   nFAST nSLOW
12     3    46
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.547"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
   nFAST nSLOW
13     5    46
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
   nFAST nSLOW
14     7    46
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5469"
[1] "2002-10-22 18:00:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5426"
   nFAST nSLOW
15     9    46
[1] "2002-10-22 04:00:00 GBPUSD 1e+05 @ 1.5466"
[1] "2002-10-22 18:30:00 GBPUSD -1e+05 @ 1.543"
[1] "2002-10-22 19:00:00 GBPUSD -1e+05 @ 1.5425"
[1] "=== testing param.combo 1 on 2002-10-23/2002-10-23 23:30:00"
  nFAST nSLOW
1     1    42
Error in gzfile(file, "wb") : cannot open the connection
In addition: Warning messages:
1: executing %dopar% sequentially: no parallel backend registered
2: In gzfile(file, "wb") :
  cannot open compressed file 'wfa.GBPUSD.2002-10-21 00:30:00.2002-10-22 23:30:00.RData', probable reason 'Invalid argument'

However, if I commet out #audit.prefix='wfa', the following error at the end of the 2nd in-sample training

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.10, result.11, result.12,     result.13, result.14, result.15): attempt to select less than one element>
Error in walk.forward(strategy.st, paramset.label = "WFA", portfolio.st = portfolio.st,  :
  obj.func() returned empty result
In addition: Warning messages:
1: executing %dopar% sequentially: no parallel backend registered
2: In covMcd(as.matrix(R), alpha = 1 - alpha) :
  Initial scale 0 because more than 'h' (=9) observations are identical.
3: In covMcd(as.matrix(R), alpha = 1 - alpha) :
  Initial scale 0 because more than 'h' (=9) observations are identical.
4: In covMcd(as.matrix(R), alpha = 1 - alpha) :
  Initial scale 0 because more than 'h' (=9) observations are identical.
5: In max(x$tradeStats$Net.Trading.PL) :
  no non-missing arguments to max; returning -Inf

Please help!

################################################################################################

Here's the program:

##############################
# MUST RUN LUXOR.5.ORDERSETS              #
##############################

 setwd("  your directory  ")

 require(quantstrat)

 source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
 source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))

#IMPORTANT NOTE
#---------------------
# As of 2013-08-12, apply.paramset does not appear to run properly in parallel on
# Windows. To run on a Windows platform, load the doParallel package but do not call
# the registerDoParallel function; apply.paramset will then be able to run in sequential
# rather than parallel mode.

 library(parallel)
 detectCores()

 if( Sys.info()['sysname'] == "Windows" )
 {
  library(doParallel)
   # registerDoParallel(cores=detectCores())
 } else {
  library(doMC)
  registerDoMC(cores=detectCores())
 }

###############################################################################################

#usual stuff
#-----------
 initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
 initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD', initEq=100000)
 initOrders(portfolio.st, initDate=initDate)
 load.strategy(strategy.st)

#chain rules
#-----------
#enable.rule(strategy.st, 'chain', 'StopLoss')
#enable.rule(strategy.st, 'chain', 'StopTrailing')
 enable.rule(strategy.st, 'chain', 'TakeProfit')

 addPosLimit(portfolio=portfolio.st,symbol='GBPUSD',timestamp=initDate, maxpos=.orderqty)

###############################################################################################

#objective function
#------------------

 ess <- function(account.st, portfolio.st) {

    require(robustbase, quietly=TRUE)
    require(PerformanceAnalytics, quietly=TRUE)

    portfolios.st <- ls(pos=.blotter, pattern=paste('portfolio', portfolio.st, '[0-9]*',sep='.'))
    pr <- PortfReturns(Account = account.st, Portfolios=portfolios.st)

    my.es <- ES(R=pr, clean='boudt')

    return(my.es)
 }

##########

#walk.forward
#------------

 my.obj.func <- function(x){

    #pick one of the following objective functions (uncomment)

    #return(max(x$tradeStats$Max.Drawdown) == x$tradeStats$Max.Drawdown)
    return(max(x$tradeStats$Net.Trading.PL) == x$tradeStats$Net.Trading.PL)
    #return(max(x$user.func$GBPUSD.DailyEndEq) == x$user.func$GBPUSD.DailyEndEq)

}

 r  <- walk.forward(strategy.st, 
                  paramset.label='WFA', 
                  portfolio.st=portfolio.st, 
                  account.st=account.st, 
                  period='days', 
                  k.training=2, 
                  k.testing=1, 
                  obj.func=my.obj.func, 
                  obj.args=list(x=quote(result$apply.paramset)), 
                  user.func=ess, 
                  user.args=list('account.st'=account.st, 
                                 'portfolio.st'=portfolio.st), 
                  audit.prefix='wfa', 
                  anchored=FALSE, 
                  verbose=FALSE)

###############################################################################################

#Results
#-------

 pdf(paste('GBPUSD', .from, .to, 'pdf', sep='.'))
 chart.Posn(portfolio.st)
 dev.off()

 ts <- tradeStats(portfolio.st)
 save(ts, file=paste('GBPUSD', .from, .to, 'RData', sep='.'))

Amarjit

----Original message----
>From : gyollin at r-programming.org
Date : 31/08/2014 - 18:54 (GMTST)
To : r-sig-finance at r-project.org
Subject : Re: [R-SIG-Finance] quantstrat - luxor.8 periodic optimization & walk-forward procedure

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
>
>
>
>
>
>
>
> _______________________________________________
> 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.

	[[alternative HTML version deleted]]

_______________________________________________
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.