[Blotter-commits] r639 - pkg/quantstrat/demo

[noreply at r-forge.r-project.org]

Author: gsee
Date: 2011-06-24 16:29:06 +0200 (Fri, 24 Jun 2011)
New Revision: 639

Modified:
   pkg/quantstrat/demo/faber.R
   pkg/quantstrat/demo/faberMC.R
   pkg/quantstrat/demo/maCross.R
Log:
-gte instead of gt in demos: helpful with higher frequency data where columns may often be equal.
-added my name


Modified: pkg/quantstrat/demo/faber.R
===================================================================
--- pkg/quantstrat/demo/faber.R	2011-06-24 14:03:50 UTC (rev 638)
+++ pkg/quantstrat/demo/faber.R	2011-06-24 14:29:06 UTC (rev 639)
@@ -90,7 +90,7 @@
 
 # There are two signals:
 # The first is when monthly price crosses over the 10-month SMA
-stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gt"),label="Cl.gt.SMA")
+stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gte"),label="Cl.gt.SMA")
 # The second is when the monthly price crosses under the 10-month SMA
 stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
 
@@ -146,7 +146,8 @@
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #
 # Copyright (c) 2009-2010
-# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson,
+# Jeffrey Ryan, Joshua Ulrich, and Garrett See
 #
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING

Modified: pkg/quantstrat/demo/faberMC.R
===================================================================
--- pkg/quantstrat/demo/faberMC.R	2011-06-24 14:03:50 UTC (rev 638)
+++ pkg/quantstrat/demo/faberMC.R	2011-06-24 14:29:06 UTC (rev 639)
@@ -103,7 +103,7 @@
 
 # There are two signals:
 # The first is when monthly price crosses over the 10-month SMA
-stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gt"),label="Cl.gt.SMA")
+stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="gte"),label="Cl.gt.SMA")
 # The second is when the monthly price crosses under the 10-month SMA
 stratFaber <- add.signal(stratFaber,name="sigCrossover",arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
 
@@ -152,7 +152,8 @@
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #
 # Copyright (c) 2009-2010
-# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, 
+# Jeffrey Ryan, Joshua Ulrich, and Garrett See
 #
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING

Modified: pkg/quantstrat/demo/maCross.R
===================================================================
--- pkg/quantstrat/demo/maCross.R	2011-06-24 14:03:50 UTC (rev 638)
+++ pkg/quantstrat/demo/maCross.R	2011-06-24 14:29:06 UTC (rev 639)
@@ -24,7 +24,7 @@
 stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA", arguments = list(x=quote(Cl(mktdata)), n=50),label= "ma50" )
 stratMACROSS <- add.indicator(strategy = stratMACROSS, name = "SMA", arguments = list(x=quote(Cl(mktdata)), n=200),label= "ma200")
 
-stratMACROSS <- add.signal(strategy = stratMACROSS,name="sigCrossover",arguments = list(columns=c("ma50","ma200"), relationship="gt"),label="ma50.gt.ma200")
+stratMACROSS <- add.signal(strategy = stratMACROSS,name="sigCrossover",arguments = list(columns=c("ma50","ma200"), relationship="gte"),label="ma50.gt.ma200")
 stratMACROSS <- add.signal(strategy = stratMACROSS,name="sigCrossover",arguments = list(column=c("ma50","ma200"),relationship="lt"),label="ma50.lt.ma200")
 
 stratMACROSS <- add.rule(strategy = stratMACROSS,name='ruleSignal', arguments = list(sigcol="ma50.gt.ma200",sigval=TRUE, orderqty=100, ordertype='market', orderside='long'),type='enter')
@@ -58,7 +58,8 @@
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #
 # Copyright (c) 2009-2010
-# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson,
+# Jeffrey Ryan, Joshua Ulrich, and Garrett See
 #
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING