First of all, I appreciate all the hard works the developers have poured for this package. Is there anyone who could help me with this?
I have searched this question and got to the following answer provided by Braverock. http://r.789695.n4.nabble.com/Parameters-setting-for-multiple-indicators-with-the-same-argument-names-td3793443.html I tried to follow his recommendation but couldn't get it work. My codes are as follows. It appears that only the first set of parameters are repeated over and over. External parameters (shortMA and longMA) don't seem like to be updated at all. input_data <- read.csv('mktdata.csv') EURUSD <- xts(input_data[,3:6], as.POSIXct(input_data[,'Date'], tz='PST', format='%Y-%m-%d', drop.time=F)) names(EURUSD) <- c("OPEN","HIGH","LOW","CLOSE") shortMA = 5 longMA = 10 initDate <- as.Date('2000-01-02') - 1 stock.str <- 'EURUSD' strat.name <- 'MAX' initEq=1000000 dummy <- initPortf(name=strat.name,symbols=stock.str, initDate=initDate) dummy <- initAcct(name=strat.name,portfolios=strat.name, initDate=initDate, initEq=initEq) initOrders(portfolio=strat.name,initDate=initDate) strat <- strategy(strat.name) *#indicators:* strat <- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Cl(mktdata)), *n=quote(shortMA))*,label= "ma_sn" ) strat <- add.indicator(strategy = strat, name = "SMA", arguments = list(x=quote(Cl(mktdata)), *n=quote(longMA))*,label= "ma_ln") # signals: strat <- add.signal(strategy = strat,name="sigCrossover", arguments = list(columns=c("ma_sn","ma_ln"), relationship="gte"), label="ma_sn.gt.ma_ln") strat <- add.signal(strategy = strat,name="sigCrossover", arguments = list(column=c("ma_sn","ma_ln"),relationship="lt"), label="ma_sn.lt.ma_ln") # rules: strat <- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma_sn.gt.ma_ln",sigval=TRUE, orderqty=1000000, ordertype='market', orderside='long',pricemethod='market'),type='enter',path.dep=T) strat <- add.rule(strategy = strat,name='ruleSignal', arguments = list(sigcol="ma_sn.lt.ma_ln",sigval=TRUE, orderqty=-1000000, ordertype='market', orderside='long',pricemethod='market'),type='exit',path.deop=T) library(PerformanceAnalytics) ShortM <- c(5,10,15) #,20) LongM <- c(20, 40) #, 50,60,100) parm.comb <- expand.grid(ShortM=ShortM,LongM=LongM) num.opts <- nrow(parm.comb) res.vec <- rep(NA,num.opts) res.vec2 <- res.vec for(i in 1:num.opts) { # initialize portfolio and orders try(rm(list=ls(pos=.blotter),pos=.blotter),silent=TRUE) try(rm(list=ls(pos=.strategy),pos=.strategy),silent=TRUE) dummy <- initPortf(name=strat.name,symbols=stock.str, initDate=initDate) initOrders(portfolio=strat.name,initDate=initDate) # apply strategy ShortMA <- parm.comb[i,"ShortM"] LongMA <- parm.comb[i,"LongM"] if (ShortMA<LongMA) { out<-try(applyStrategy(strategy=strat, portfolios=strat.name, verbose=F, parameters=list(shortMA=ShortMA, longMA= LongMA))) # calculate performance matric dummy <- updatePortf(Portfolio=strat.name, Dates=paste('::',as.Date('2012-08-17'),sep="")) trading.pl <- getPortfolio(strat.name)$summary$Net.Trading.PL rets <- trading.pl/initEq omega <- as.numeric(Omega(rets)) res.vec[i] <- omega } } -- [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
