<html><body><div style="color:#000; background-color:#fff; font-family:arial, helvetica, sans-serif;font-size:10pt"><div style="RIGHT: auto"><SPAN style="RIGHT: auto"><BR class=yui-cursor style="RIGHT: auto"></SPAN></div>
<div style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; RIGHT: auto; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent">Opps, forgot the .RData strategy file for the TIMESPAN program.</div>
<div style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; RIGHT: auto; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"> </div>
<div style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; RIGHT: auto; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"> </div>
<div style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; RIGHT: auto; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent">Amarjit<VAR id=yui-ie-cursor></VAR></div>
<div style="RIGHT: auto"> </div>
<div style="RIGHT: auto"> </div>
<div style="RIGHT: auto"> </div>
<BLOCKQUOTE style="RIGHT: auto; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: rgb(16,16,255) 2px solid; MARGIN-TOP: 5px">
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif">
<DIV style="FONT-SIZE: 12pt; FONT-FAMILY: times new roman, new york, times, serif">
<DIV style="RIGHT: auto" dir=ltr>----- Forwarded Message -----<BR><FONT size=2 face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial <a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B> "ilya.kipnis@gmail.com" <ilya.kipnis@gmail.com>; "r-sig-finance@r-project.org" <r-sig-finance@r-project.org> <BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Friday, 16 May 2014, 12:53<BR><B><SPAN style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<BR></FONT></DIV>
<DIV class=y_msg_container style="RIGHT: auto"><BR>
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV style="RIGHT: auto">
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV style="RIGHT: auto">
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1639 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1638 style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1637 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1636 style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1635 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_5_1400239663057_1634 style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_6_1400225147213_379 style="RIGHT: auto">
<DIV id=yiv1719098689yui_3_7_2_6_1400225147213_378 style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff">
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_35> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_45>Hi Ilya,</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_46> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_77 style="RIGHT: auto"> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_78>Have returned with our stochastic oscillator OBOS strategy.</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_413> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_416>Where we were last time was optimizing nSlowD & the OBOS thresholds. I will guess that everything was correct there, inequalities etc, if not let me know! Therefore I'll carry-on with including a timefilter to our strategy and optimizing timespans (various timefilters). As this is for demo and given only a few days of intraday data the values for nSlowD and OBOS thresholds can remain at 5, 80, & 20, respectively (ordinarily this'll be on the optimized values). I have also uncommented the short-side as we have an fx rate GBPUSD, not a stock.</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_1024> </DIV>
<DIV id=yiv1719098689yui_3_7_2_6_1400225147213_377> </DIV>
<DIV id=yiv1719098689yui_3_7_2_6_1400225147213_887>Attached:</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_1064>(1) Vanilla + inclusion of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. This appears to be filtering correctly.</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_2693>(2) Various timefilters i.e. timespans for optimization. Although the program runs, it does not appear to be optimizing. I am having problems with add.distribution and apply.paramset functions. Please help!</DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_422> <VAR id=yiv1719098689yui-ie-cursor></VAR></DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_430> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_433> </DIV>
<DIV id=yiv1719098689yui_3_7_2_5_1400225147213_436>Amarjit <VAR id=yiv1719098689yui-ie-cursor></VAR></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV><BR>_______________________________________________<BR><A href="mailto:R-SIG-Finance@r-project.org" ymailto="mailto:R-SIG-Finance@r-project.org">R-SIG-Finance@r-project.org</A> mailing list<BR><A href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target=_blank>https://stat.ethz.ch/mailman/listinfo/r-sig-finance</A><BR>-- Subscriber-posting only. If you want to post, subscribe first.<BR>-- Also note that this is not the r-help list where general R questions should go.<BR><BR></DIV></DIV></DIV></BLOCKQUOTE></div></body></html>