[Blotter-commits] r725 - pkg/quantstrat/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Aug 10 18:58:06 CEST 2011
Author: braverock
Date: 2011-08-10 18:58:05 +0200 (Wed, 10 Aug 2011)
New Revision: 725
Added:
pkg/quantstrat/man/applyParameter.Rd
pkg/quantstrat/man/getParameterTable.Rd
pkg/quantstrat/man/paramConstraint.Rd
pkg/quantstrat/man/setParameterConstraint.Rd
pkg/quantstrat/man/setParameterDistribution.Rd
Log:
- add roxygen docs for parameter testing
Added: pkg/quantstrat/man/applyParameter.Rd
===================================================================
--- pkg/quantstrat/man/applyParameter.Rd (rev 0)
+++ pkg/quantstrat/man/applyParameter.Rd 2011-08-10 16:58:05 UTC (rev 725)
@@ -0,0 +1,48 @@
+\name{applyParameter}
+\alias{applyParameter}
+\title{Test different parameter sets on a strategy.}
+\usage{
+ applyParameter(strategy, portfolios, parameterPool,
+ parameterConstrains, method, sampleSize)
+}
+\arguments{
+ \item{strategy}{name of the strategy to apply paramters
+ to.}
+
+ \item{portfolios}{name of the portfolio to apply to.}
+
+ \item{parameterPool}{a paramter distribution object that
+ created by setParameterDistribution function, which
+ includes all the parameter legal values and
+ distribution/weights.}
+
+ \item{parameterConstrains}{the object created by
+ setParameterConstraint function that specifies the
+ constrains between each parameters,}
+
+ \item{method}{takes string 'expand' or 'random', specify
+ how to generate samples of parameters. 'expand' will do
+ all possible combinations of the parameter sets,}
+
+ \item{sampleSize}{used when method=='random', specify how
+ many parameter sets to generate and run test of.}
+}
+\description{
+ Given a parameter distribution object generated by
+ setParameterDistribution function, generate parameter
+ sets and test each set on specified strategy.
+}
+\details{
+ In the returned Object$: eachRun contains the details of
+ test run with each parameter set. paramTable is parameter
+ samples used, in a table for print. paramConstrainTable
+ is the constraints apply to the parameters, in a table
+ for print. parameterDistribution is the parameter
+ distribution passed in as argument. parameterConstrains
+ is the constraints apply to the parameters, passed in as
+ argument.
+}
+\author{
+ Yu Chen
+}
+
Added: pkg/quantstrat/man/getParameterTable.Rd
===================================================================
--- pkg/quantstrat/man/getParameterTable.Rd (rev 0)
+++ pkg/quantstrat/man/getParameterTable.Rd 2011-08-10 16:58:05 UTC (rev 725)
@@ -0,0 +1,27 @@
+\name{getParameterTable}
+\alias{getParameterTable}
+\title{Extract the parameter structure from a strategy object.}
+\usage{
+ getParameterTable(strategy)
+}
+\arguments{
+ \item{strategy}{The name of the strategy}
+}
+\description{
+ This function is not required for user to specify the
+ distribution of parameters, Users can use this function
+ to extract the parameters used in a strategy, and as a
+ reminder/ cheatsheet when they create the parameter
+ distribution.
+}
+\details{
+ In the returned object: $paramNameList is the list of
+ parameters used in the strategy, easy for print and view
+ as a table. $strategyName is the name of the strategy
+ itself. $structure is the detailed paramter structure,
+ can be ignored.
+}
+\author{
+ Yu Chen
+}
+
Added: pkg/quantstrat/man/paramConstraint.Rd
===================================================================
--- pkg/quantstrat/man/paramConstraint.Rd (rev 0)
+++ pkg/quantstrat/man/paramConstraint.Rd 2011-08-10 16:58:05 UTC (rev 725)
@@ -0,0 +1,31 @@
+\name{paramConstraint}
+\alias{paramConstraint}
+\title{Basicly is the same as sigComparison function in signal.R wrote by Brian, with miner change.}
+\usage{
+ paramConstraint(label, data = mktdata, columns,
+ relationship = c("gt", "lt", "eq", "gte", "lte"))
+}
+\arguments{
+ \item{label}{text label to apply to the output}
+
+ \item{data}{data to apply comparison to}
+
+ \item{columns}{named columns to apply comparison to}
+
+ \item{relationship}{one of
+ c("gt","lt","eq","gte","lte","op") or reasonable
+ alternatives}
+}
+\description{
+ Currently, this function compares two columns. Patches to
+ compare an arbitrary number of columns would be gladly
+ accepted.
+}
+\details{
+ Comparison will be applied from the first to the second
+ column in the \code{columns} vector.
+
+ Relationship 'op' means 'opposite' side. Reasonable
+ attempt will be made to match.
+}
+
Added: pkg/quantstrat/man/setParameterConstraint.Rd
===================================================================
--- pkg/quantstrat/man/setParameterConstraint.Rd (rev 0)
+++ pkg/quantstrat/man/setParameterConstraint.Rd 2011-08-10 16:58:05 UTC (rev 725)
@@ -0,0 +1,24 @@
+\name{setParameterConstraint}
+\alias{setParameterConstraint}
+\title{Function to construct parameter constraint object.}
+\usage{
+ setParameterConstraint(paramConstraintObj = list(),
+ constraintLabel, paramList, relationship)
+}
+\arguments{
+ \item{constrainlabel}{give a label to the constraint.}
+
+ \item{paramList}{the two name of the prameters as a list
+ contains two strings.}
+
+ \item{relationship}{relationship between the 1st
+ parameter and 2nd one. ('gt' means 1st parameter > 2nd
+ parameter)}
+}
+\description{
+ Function to construct parameter constraint object.
+}
+\author{
+ Yu Chen
+}
+
Added: pkg/quantstrat/man/setParameterDistribution.Rd
===================================================================
--- pkg/quantstrat/man/setParameterDistribution.Rd (rev 0)
+++ pkg/quantstrat/man/setParameterDistribution.Rd 2011-08-10 16:58:05 UTC (rev 725)
@@ -0,0 +1,38 @@
+\name{setParameterDistribution}
+\alias{setParameterDistribution}
+\title{Function used to set distribution of a parameter in a strategy.}
+\usage{
+ setParameterDistribution(paramDist = NULL, type = NULL,
+ indexnum = 0, distribution = NULL, weight, label, psindex
+ = NULL)
+}
+\arguments{
+ \item{paramDist}{the object name that store the parameter
+ list}
+
+ \item{type}{indicator/signal/enter/exit/order}
+
+ \item{indexnum}{tells the sequence within the type, (if
+ the type is signal, indexnum =2 means the 2nd signal in
+ the strategy)}
+
+ \item{distribution}{distribution of the parameter, can be
+ any function that return a vector. (example: 1:10 or
+ sample(1:20,6)}
+
+ \item{weight}{the weight of each value in the
+ distribution, default value will be all equally
+ weighted.}
+
+ \item{psindex}{specify the index within the parameter
+ distribution object, it is used to make change/ repalce a
+ parameter distribution in the object.}
+}
+\description{
+ Function used to set distribution of a parameter in a
+ strategy.
+}
+\author{
+ Yu Chen
+}
+
More information about the Blotter-commits
mailing list