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On Sat, May 28, 2016 at 8:14 AM, Atakan Okan <atakano...@outlook.com> wrote:
> Hi r-sig-finance,
> I was trying to implement a strategy where parabolic SAR (from TTR package)
> is used. However one of the parameters of SAR "accel" takes two values, one
> for "accelaration factor" and one for "maximum acceleration factor". I was
> unable to pass two sequences as one parameter and I was wondering if it is
> possible to do that to be able to optimize those parameters.
> Reproducible code: (The commented out add.distributions did not work.)
>
> library(PerformanceAnalytics)library(quantstrat)
> no.cores <- 4
> .strategy <- new.env().blotter <- new.env()
> symbol.name = "AAPL" tick.size = 0.01
> currency("USD")stock(symbol.name, currency="USD", multiplier=1,tick_size=
> tick.size)
> initialEquity = 1000
> port.acct.currency <- "USD"strategy.keyword = "PSAR_D1"
> longStopLossDistance <- 0;longTrailingStopDistance <-
> 0;longTakeProfitDistance <- 0shortStopLossDistance <-
> 0;shortTrailingStopDistance <- 0;shortTakeProfitDistance <- 0
> symbol.data <- getSymbols(symbol.name)
> strategy.st <- paste(symbol.name,strategy.keyword,sep =
> "_")rm.strat(strategy.st)
> initDate = as.character(as.Date(index(symbol.data[1])-1))
> initPortf(strategy.st, symbol.name, initDate=initDate, currency =
> port.acct.currency)initAcct(strategy.st, portfolios=strategy.st,
> initDate=initDate, initEq=initialEquity, currency =
> port.acct.currency)initOrders(portfolio=strategy.st,initDate=initDate)
>
> strategy(strategy.st,store=TRUE)summary(getStrategy(strategy.st))
> txn.model <- 0
> fixedSizeLong = 100 fixedSizeShort = -100
> paramset.label.name <- "PSAR_OPT"accel.factor <- seq(from=0.01, by=0.01,
> length.out = 3)max.accel.factor <- seq(from=0.1, by=0.05, length.out =
> 4)accels.df <- expand.grid(accel.factor,max.accel.factor)
>
> add.indicator(strategy.st,
> name = "SAR",
> arguments = list(HL=HLC(eval(parse(text = symbol.name)))
> ,accel=c(accel.factor,max.accel.factor)
> ), label='sar')
>
> #apply.indicators.df <- applyIndicators(strategy.st, mktdata=eval(parse(text
> = symbol.name)))
>
> add.signal(strategy.st,name="sigCrossover", arguments =
> list(columns=c("sar","Close"),relationship="gt"),
> label="sar.gt.close")
> add.signal(strategy.st,name="sigCrossover", arguments =
> list(columns=c("sar","Close"),relationship="lt"),
> label="sar.lt.close")
> #apply.signals.df <- applySignals(strategy.st, mktdata=apply.indicators.df)
> add.rule(strategy.st, name='ruleSignal', arguments =
> list(sigcol="sar.gt.close", sigval=TRUE,
> prefer="Open", orderqty=
> fixedSizeLong, ordertype='market',
> orderside='long', orderset='ocolong',
> TxnFees = txn.model), type='enter',
> label='longenter', enabled=TRUE)
> # Long Exit
> Rule-------------------------------------------------------------------add.rule(strategy.st,
> name='ruleSignal', arguments = list(sigcol="sar.lt.close",
> sigval=TRUE, prefer="Open",
> orderqty='all',
> ordertype='market', orderside='long',
> orderset='ocolong', TxnFees = txn.model),
> type='exit', label='longexit', enabled=TRUE)
>
>
> # Short Entry
> Rule--------------------------------------------------------------------add.rule(strategy.st,
> name='ruleSignal', arguments = list(sigcol="sar.lt.close",
> sigval=TRUE, prefer="Open",
> orderqty= fixedSizeShort,
> ordertype='market', orderside='short',
> orderset='ocoshort', TxnFees =
> txn.model), type='enter', label='shortenter',
> enabled=TRUE)
> # Short Exit
> Rule---------------------------------------------------------------------add.rule(strategy.st,
> name='ruleSignal', arguments = list(sigcol="sar.gt.close",
> sigval=TRUE, prefer="Open",
> orderqty='all',
> ordertype='market', orderside='short',
> orderset='ocoshort', TxnFees =
> txn.model), type='exit', label='shortexit',
> enabled=TRUE)
>
>
>
> #SAR
> Optimization-------------------------------------------------------------#add.distribution(strategy.st,
> # paramset.label = paramset.label.name, #
> component.type = 'indicator', # component.label = 'sar',
> # variable = list( accel = accels.df),
> # label = "sar.accels")
>
>
> #add.distribution(strategy.st,# paramset.label =
> paramset.label.name,# component.type = 'indicator',#
> component.label = 'sar', #
> variable = list( accel[1] = accel.factor), # label =
> "sar.accels.factor")
>
> #add.distribution(strategy.st,# paramset.label =
> paramset.label.name,# component.type = 'indicator',#
> component.label = 'sar', #
> variable = list( accel[2] = max.accel.factor), # label
> = "sar.accels.max")
>
> #add.distribution(strategy.st,# paramset.label =
> paramset.label.name,# component.type = 'indicator',#
> component.label = 'sar', #
> variable = list( accel = accel.factor,max.accel.factor), #
> label = "sar.accels.2")
>
>
>
> summary(getStrategy(strategy.st))
> paramsetenv<-new.env()results <-
> apply.paramset(strategy.st,paramset.label=paramset.label.name,
> portfolio=strategy.st, account=strategy.st,nsamples=0,verbose =
> TRUE, audit=paramsetenv)
> results.df <- data.frame(results$tradeStats)
>
> ------------------------------------------------------------------------------------------------------------------------------------------------
> Atakan Okan
> [[alternative HTML version deleted]]
>
> _______________________________________________
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> should go.
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2016 | www.rinfinance.com
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