#Optimization in quantstrat
#--------------------------

 library(quantstrat)

#change this line to the directory where .RData file is
#setwd("c:/path/to/my/directory/")


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

################## initialize instruments and load historic data ##############

 rm(list=ls(.blotter),a envir=.blotter)

 Sys.setenv(TZ="UTC")

 initDate = '2002-10-21'
 .from=initDate
 .to='2002-10-31'

 currency(c('GBP', 'USD'))
 exchange_rate('GBPUSD', tick_size=0.0001)


 getSymbols.FI(Symbols='GBPUSD',
 	         dir=system.file('extdata',package='quantstrat'),
 	         from=.from, to=.to)
 

#30-minutely OHLC data
 GBPUSD = to.minutes10(GBPUSD, 30)
 GBPUSD = align.time(GBPUSD, 30*60)

 dim(GBPUSD)

 head(GBPUSD,10)
 last(GBPUSD,10)


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

################## system parameters & initialize quantstrat objects ##############

#stochastics lengths
 nFastK = 20
 nFastD = 3
 nSlowD = 5
 maType="SMA"


 initEq=1000000
 .orderqty=100000
 .txn=-6	# round trip fee


#optimization parameters
#.nSlowD = (1:10)
#.nLower = (.10:.30)
#.nUpper = (.70:.90)
 .nSlowD <- seq(from=1, to=10, by=1)
 .nLower <- seq(from=.10, to=.30, by=.05)
 .nUpper <- seq(from=.70, to=.90, by=.05)
 .nsamples = 100


 portfolio.st="GBPUSDstoch"
 account.st="GBPUSDstoch"
 strategy.st="GBPUSDstoch"


 rm.strat(portfolio.st)
 rm.strat(strategy.st)

 initPortf(portfolio.st, symbols='GBPUSD', initDate=initDate, currency='USD')
 initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD', initEq=initEq)
 initOrders(portfolio.st, initDate=initDate)


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

################## load strategy and define distributions ##############


 load.strategy(strategy.st)
 summary(getStrategy(strategy.st))

 
 add.distribution(strategy=strategy.st,
			paramset.label='stoch', 
                  component.type='indicator', 
                  component.label='slowD.stoc.ind', 
                  variable=list(nSlowD=.nSlowD), 
                  label='slowD.STOC.IND')

#########


 add.distribution(strategy.st, 
			paramset.label='stoch', 
                  component.type='signal',
                  component.label="slowD.stoch.ind.gt.20",
                  variable =list(threshold=.nLower),
                  label="slowD.STOCH.IND.gt.LOWER")


 add.distribution(strategy.st,
			paramset.label='stoch',
			component.type='signal', 
                  component.label="slowD.stoch.ind.lt.80",
                  variable = list(threshold=.nUpper),
                  label="slowD.stoch.ind.lt.UPPER")


 add.distribution(strategy.st, 
			paramset.label='stoch', 
                  component.type='signal',
                  component.label="slowD.stoch.ind.gte.80",
                  variable =list(threshold=.nUpper),
                  label="slowD.STOCH.IND.gte.UPPER")


 add.distribution(strategy.st,
			paramset.label='stoch',
			component.type='signal', 
                  component.label="slowD.stoch.ind.lte.20",
                  variable = list(threshold=.nUpper),
                  label="slowD.stoch.ind.lte.LOWER")



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


 library(parallel)
 detectCores()


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




#Optimize parameters
#-------------------

 results <- apply.paramset(strategy.st, 
                            paramset.label='stoch',
                            portfolio.st=portfolio.st, 
                            account.st=account.st,
				    nsamples=.nsamples)


 head(names(results),.nsamples)