<p><br></p><p>A reminder.</p><p><br></p><p>Amarjit</p><p><br></p><p><br></p><blockquote style="margin-right: 0px; margin-left: 15px;">----Original message----<br>From : a.chandhial@btinternet.com<br>Date : 18/05/2014 - 09:59 (GMTDT)<br>To : ilya.kipnis@gmail.com, r-sig-finance@r-project.org<br>Subject : [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<br><br><div style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 10pt; background-color: rgb(255, 255, 255);"><div id="yiv1984092909" style="right: auto;">
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<div id="yiv1984092909yui_3_7_2_5_1400398942381_44"><span id="yiv1984092909yui_3_7_2_5_1400398942381_49"></span> </div><span id="yiv1984092909yui_3_7_2_5_1400398942381_1229" style="right: auto;">
<div id="yiv1984092909yui_3_7_2_5_1400398942381_515" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_514"></span> <var id="yiv1984092909yui-ie-cursor"></var></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1253" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1254">Via the TIMEFILTER program, tradestats e.g. Gross.Profits are:</span></div>
<div id="yiv1984092909yui_3_7_2_7_1400398942381_79" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_7_1400398942381_276"></span> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_876" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_783">T07:00/T20:00<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_186"> </span><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_820">Gross.Profits<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_264"> 1571.112<var id="yiv1984092909yui-ie-cursor"></var></span></span></span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_973" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1137"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1252"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_877"><span id="yiv1984092909yui_3_7_2_5_1400398942381_783">T08:00/T21:00<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_209"> </span><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_820">Gross.Profits<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_279"> 601.9379</span> </span></span></span></span></span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2507" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_992"><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_880"><span id="yiv1984092909yui_3_7_2_5_1400398942381_783">T09:00/T22:00<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_232"> </span><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_820">Gross.Profits<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_292"> 601.9379</span><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_12_1400398942381_439"> </span></span></span></span></span></span></span></span></span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1220" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1305"><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_884"><span id="yiv1984092909yui_3_7_2_5_1400398942381_783">T10:00/T23:00<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_255"> </span><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_820">Gross.Profits<span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_13_1400398942381_331"> 783.9936</span></span></span></span></span></span></span></span></span></span></span></span></div></span>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1231" style="right: auto;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1230"></span> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1233" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_50"></span> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2540" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_7_1400398942381_76"></span> </div>
<div id="yiv1984092909yui_3_7_2_7_1400398942381_283" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> </div>
<div id="yiv1984092909yui_3_7_2_12_1400398942381_307" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_628">I have altered add.distribution in the TIMESPAN <var id="yui-ie-cursor"></var>program</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_456" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_347"></span> <var id="yiv1984092909yui-ie-cursor"></var></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1700" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_350"> add.distribution(strategy.st,</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1829" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1698"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1709"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1718"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1727"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1736"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1745"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1754"> </span></span></span></span></span></span>paramset.label = 'Timespan',</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_1952" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1827"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1838"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1847"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1856"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1865"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1874"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1883"> </span></span></span></span></span></span>component.type = 'indicator', <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_365"> </span># one of c('indicator', 'signal', 'order', 'enter', 'exit', 'chain') --- have tried all of these!</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2013" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_1950"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1961"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1968"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1977"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1984"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1991"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_1998"> </span></span></span></span></span></span>component.label = 'timespan',</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2144" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2011"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2022"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2031"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2040"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2049"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2058"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2069"> </span></span></span></span></span></span>variable = list(n = .timespans),</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2143" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2142"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2153"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2160"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2167"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2174"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2181"> <span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2188"> </span></span></span></span></span></span>label = 'TIMESPAN')<br></span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_336" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2191"></span> </div>
<div id="yiv1984092909yui_3_7_2_7_1400398942381_113" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> </div>
<div id="yiv1984092909yui_3_7_2_7_1400398942381_110" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_2377" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2359">However, the tradestats remain only for <span id="yiv1984092909yui_3_7_2_5_1400398942381_783">T07:00/T20:00.<var id="yiv1984092909yui-ie-cursor"></var></span></span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_515" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2543"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_11_1400398942381_45"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_884"><span id="yiv1984092909yui_3_7_2_5_1400398942381_783"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_820"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_857"></span></span></span></span></span></span></span></span></span></span></span></span> </div>
<div style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_2850"><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab"><span><span class="yiv1984092909tab"><span class="yiv1984092909tab" id="yiv1984092909yui_3_7_2_5_1400398942381_2380"></span></span></span></span></span></span></span></span></span></span></span></span> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_883"><span id="yiv1984092909yui_3_7_2_5_1400398942381_51">Amarjit</span></div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_348" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_52"></span> </div>
<div id="yiv1984092909yui_3_7_2_5_1400398942381_344" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"><span id="yiv1984092909yui_3_7_2_5_1400398942381_53"></span> </div>
<div id="yiv1984092909yui_3_7_2_7_1400398942381_78" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> </div>
<div id="yiv1984092909yui_3_7_2_11_1400398942381_79" style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> <var id="yiv1984092909yui-ie-cursor"></var></div>
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<blockquote id="yiv1984092909yui_3_7_2_5_1400398942381_46" style="padding-left: 5px; margin-top: 5px; margin-left: 5px; border-left-color: rgb(16, 16, 255); border-left-width: 2px; border-left-style: solid;">
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<div id="yiv1984092909yui_3_7_2_5_1400398942381_54" dir="ltr">----- Forwarded Message -----<br><font id="yiv1984092909yui_3_7_2_11_1400398942381_78" face="Arial" size="2"><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, 13:50<br><b><span style="font-weight: bold;">Subject:</span></b> [R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<br></font></div>
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<div style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;">Opps, forgot the .RData strategy file for the TIMESPAN program.</div>
<div style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;"> </div>
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<div style="color: rgb(0, 0, 0); font-family: arial, helvetica, sans-serif; font-size: 13px; font-style: normal; background-color: transparent;">Amarjit<var id="yiv1984092909yui-ie-cursor"></var></div>
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<div dir="ltr">----- Forwarded Message -----<br><font face="Arial" size="2"><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>
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<div id="yiv1984092909yui_3_7_2_5_1400225147213_45">Hi Ilya,</div>
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<div id="yiv1984092909yui_3_7_2_5_1400225147213_78">Have returned with our stochastic oscillator OBOS strategy.</div>
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<div id="yiv1984092909yui_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>
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<div id="yiv1984092909yui_3_7_2_6_1400225147213_887">Attached:</div>
<div id="yiv1984092909yui_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="yiv1984092909yui_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>
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<div id="yiv1984092909yui_3_7_2_5_1400225147213_436">Amarjit <var id="yiv1984092909yui-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" target="_blank" rel="nofollow" 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" rel="nofollow">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></div></div><br>_______________________________________________<br><a href="mailto:R-SIG-Finance@r-project.org" target="_blank" rel="nofollow" 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" rel="nofollow">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></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div><br></blockquote><br><p></p>