[R-SIG-Finance] apply.paramset stopping on condition

[Brian G. Peterson]

How are you planning to calculate this statistic to 'stop trading'? 

If you're using net profit, drawdown, etc., these are typically
calculated after the backtest is over, e.g. using updatePortf and
tradeStats.

Obviously this is too late to bail out early.

You could conceivably check some 'partial' profit or loss in a rule
(maybe a rebalance rule) from the trades that have happened, zero out
all your signals, adjust the next dindex to the last observation to
skip to the end.

I'd argue that your question suggests that you're not doing analysis of
 your signals before running the expensive walk-forward or
apply.paramset processes.  Wouldn't it make more sense to apply your
proposed parameters over your signal process, where the code should be
vectorized, fast, and cheap, than to wait till you're running the
comparatively slower path dependent rules?

quantstrat has many functions for doing signal analysis, including
signal analysis over a parameter set.  See the signal analysis demos.

Also, I suspect you may be doing something else computationally
expensive in your backtest. We can typically get to about one core-
minute per symbol per day on tick data.  So we've certainly seen tests
that take hours or even days to run here, but those are over massive
amounts of data.  Have you profiled a single run of the backtest to see
where it is spending its time? 

Regards,

Brian


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

On Tue, 2017-03-14 at 17:52 +0100, Diego Peroni wrote:
> Hi Frank,
> 
> I don't have code to share: every simulation is fine...
> 
> In other words my problem is:
> 
> 1) In which function of quantstrat can I insert some custom code to
> stop 
> simulation execution at a specific moment based on my personal raw 
> criteria (ex. Profit or Drawdown)?
> 
> 2) The custom code must be placed in a place where I can collect
> last 
> trade result step by step to calculate approximately "partial" Profit
> or 
> Drawdown
> 
> I'm looking at "ruleOrderProc.R" function but I'm not sure it is the 
> best place...
> 
> Thanks in advance
> 
> Diego
> 
> 
> 
> On 14/03/2017 17:35, Frank wrote:
> > Would you attach an example to your post? Something that we can run
> > using
> > copy and paste to R console, with some data?
> > 
> > Thanks,
> > 
> > Frank
> > Chicago
> > 
> > -----Original Message-----
> > From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On
> > Behalf
> > Of Diego Peroni
> > Sent: Tuesday, March 14, 2017 2:51 AM
> > To: r-sig-finance at r-project.org
> > Subject: [R-SIG-Finance] apply.paramset stopping on condition
> > 
> > Hello everybody,
> > 
> > I'm using quantstrat apply.paramset to optimize some parameters but
> > my
> > simulations runs for a long time...
> > 
> > I'm trying to stop bad simulations BEFORE they finish basing on
> > some
> > indicators (ex. Net.Profit or drawdown).
> > 
> > Is there a way to control this beaviour including some custom code
> > in
> > quantstrat?
> > 
> > Thanks
> > 
> > Diego
> > 
> > _______________________________________________
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> 
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