[R-SIG-Finance] Custom Indicator and apply.paramset problem
Brian G. Peterson
brian at braverock.com
Sat Feb 25 21:39:23 CET 2017
You didn't tell the list what error you see when you try running your code.
You should probably use doParallel on Windows, and not load snow and
parallel both. The socket cluster code in the parallel package came
from snow, and they share the same function names, so you could have
namespace collisions with both loaded.
Your most likely problem is that you did not export your custom function
to the cluster workers using .exports in the apply.paramsets call or
clusterExport before calling apply.paramsets.
Regards,
Brian
On 02/25/2017 02:11 PM, Atakan Okan wrote:
> Hi again,
>
> As a followup to my custom indicator question:
> Although I have successfully implemented it based on your suggestions and ran it via applyStrategy; optimizing parameters of a strategy with the same custom indicator via apply.paramset does not seem to work on Windows using the package doSNOW, despite the fact that I have run apply.paramset on a different strategy with parallelization with doSNOW but without any custom indicators.
>
> Any help is appreciated, thank you :)
>
> Atakan Okan
>
> The reproducible code:
>
> library(quantmod)
> library(quantstrat)
> library(TTR)
>
>
> Sys.setenv(TZ = "UTC")
>
>
> .strategy <- new.env()
> .blotter <- new.env()
>
>
> #Data
> getSymbols("AAPL")
>
>
> #Stock
> symbol.name = "AAPL"
> tick.size = 0.01
> currency('USD')
> stock(symbol.name, currency="USD", multiplier=1,tick_size= tick.size)
>
>
> initialEquity = 100000
> port.acct.currency <- "USD"
>
>
> strategy.st <- 'Custom_Prob'
> rm.strat(strategy.st)
>
>
> initDate = as.character(as.Date(index(AAPL[1])-1))
> initPortf(strategy.st, symbol.name, initDate=initDate, currency =
> port.acct.currency)
> initAcct(strategy.st, portfolios=strategy.st,
> initDate=initDate,
> initEq=initialEquity, currency = port.acct.currency)
> initOrders(portfolio=strategy.st,initDate=initDate)
> strategy(strategy.st,store=TRUE)
> summary(getStrategy(strategy.st))
>
>
>
>
> #MACD W1 indicator
> MACD_W1 <- function(mktdata=quote(mktdata),
> nFast = 12,
> nSlow = 26,
> nSig = 9)
> {
> y <- eval(parse(text = symbol.name))
> y <- to.weekly(y)
> y <- Cl(y)
> y <- MACD(y,
> nFast = nFast,
> nSlow = nSlow,
> nSig = nSig,
> maType = "EMA")
> y <- cbind(mktdata, y[paste(first(index(mktdata)),
> last(index(mktdata)),
> sep = "/")])
> if (anyNA(y[,1])){
> y <- y[-which(is.na(y[,1])),]
> }
> y <- na.locf(y)
> y <- y[,c((ncol(y)-1),ncol(y))]
> y
> }
>
>
>
>
> add.indicator(strategy.st,
> name = "MACD",
> arguments = list(x=Cl(AAPL)),
> label='macd')
>
>
> add.indicator(strategy.st,
> name = "MACD_W1",
> arguments = list(mktdata=quote(mktdata)))
>
>
> add.signal(strategy.st,name="sigCrossover",
> arguments = list(columns=c("macd.macd","signal.macd"),relationship="gt"),
> label="macd.gt.signal")
>
>
> add.signal(strategy.st,name="sigCrossover",
> arguments = list(columns=c("macd.macd","signal.macd"),relationship="lt"),
> label="macd.lt.signal")
>
>
> add.signal(strategy.st, name="sigFormula",
> arguments=list(columns=c("macd.MACD_W1.ind", "signal.MACD_W1.ind"),
> formula="(macd.MACD_W1.ind > signal.MACD_W1.ind)",
> cross=FALSE),
> label="LongCond.W1")
>
>
> add.signal(strategy.st, name="sigFormula",
> arguments=list(columns=c("macd.macd", "signal.macd","LongCond.W1"),
> formula="(macd.gt.signal == 1) & (LongCond.W1 == 1)",
> cross=FALSE),
> label="macd.gt.signal.w1")
>
>
> add.rule(strategy.st,
> name='ruleSignal',
> arguments = list(sigcol="macd.gt.signal.w1",
> sigval=TRUE,
> prefer="Open",
> orderqty= 100,
> ordertype='market',
> orderside='long',
> orderset='ocolong',
> TxnFees = 0),
> type='enter',
> label='longenter',
> enabled=TRUE
> )
>
>
> add.rule(strategy.st,
> name='ruleSignal',
> arguments = list(sigcol="macd.lt.signal",
> sigval=TRUE,
> prefer="Open",
> orderqty='all',
> ordertype='market',
> orderside='long',
> orderset='ocolong',
> TxnFees = 0),
> type='exit',
> label='longexit',
> enabled=TRUE
> )
>
>
> macdFastMARange <- seq(2,12,by=5)
> macdSlowMARange <- seq(12,24,by=6)
> macdSignalRange <- seq(5,15,by=5)
>
>
> paramset.label.name <- "macd_opt"
>
>
> add.distribution(strategy.st,
> paramset.label = paramset.label.name,
> component.type = 'indicator',
> component.label = "macd",
> variable = list( nFast = macdFastMARange ),
> label = "macdFastMARANGE")
>
>
> add.distribution(strategy.st,
> paramset.label = paramset.label.name,
> component.type = 'indicator',
> component.label = "macd",
> variable = list( nSlow = macdSlowMARange ),
> label = "macdSlowMARANGE")
>
>
> add.distribution(strategy.st,
> paramset.label = paramset.label.name,
> component.type = 'indicator',
> component.label = "macd",
> variable = list( nSig = macdSignalRange ),
> label = "macdSignalRANGE")
>
>
> add.distribution.constraint(strategy.st,
> paramset.label = paramset.label.name,
> distribution.label.1 = 'macdFastMARANGE',
> distribution.label.2 = 'macdSlowMARANGE',
> operator = '<',
> label = 'FastMA<SlowMA')
>
>
> #Single Core - Works
> #applyStrategy(strategy=strategy.st,portfolios=strategy.st, verbose=TRUE)
> #updatePortf(strategy.st)
> #updateAcct(strategy.st)
> #updateEndEq(strategy.st)
>
>
>
>
> #DoSNOW Parallel on Windows - Does Not Work
> library(doSNOW)
> library(parallel)
> paramsetenv <- new.env()
> cl <- snow::makeCluster(detectCores(), type = "SOCK")
> registerDoSNOW(cl)
> results <- apply.paramset(strategy.st,
> paramset.label=paramset.label.name,
> portfolio=strategy.st,
> account=strategy.st,
> nsamples=0,
> verbose = TRUE,
> audit=paramsetenv,
> calc = "slave")
> snow::stopCluster(cl)
>
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--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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