[Blotter-commits] r1113 - pkg/quantstrat/demo

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

Author: opentrades
Date: 2012-08-01 00:56:52 +0200 (Wed, 01 Aug 2012)
New Revision: 1113

Modified:
   pkg/quantstrat/demo/tradeGraphs.R
Log:
new tradeGraphs.R version in demo

Modified: pkg/quantstrat/demo/tradeGraphs.R
===================================================================
--- pkg/quantstrat/demo/tradeGraphs.R	2012-07-31 19:13:22 UTC (rev 1112)
+++ pkg/quantstrat/demo/tradeGraphs.R	2012-07-31 22:56:52 UTC (rev 1113)
@@ -1,91 +1,14 @@
 #!/usr/bin/Rscript --vanilla
 
-require(rgl)
+require(quantstrat)
 
 load('../data/luxor.250.RData')
 
-# parameters
+tradeGraphs (
+	stats = stats,
+	free.params = c("Param.indicator.1.nFast", "Param.indicator.2.nSlow"),
+	fixed.params = NULL,
+	statistics = c("Net.Trading.PL", "maxDrawdown", "Avg.Trade.PL", "Num.Trades", "Profit.Factor"),
+	title = 'Luxor'
+)
 
-range.Fast = range(stats$Param.indicator.1.nFast)
-min.Fast = range.Fast[1]
-max.Fast = range.Fast[2]
-
-range.Slow = range(stats$Param.indicator.2.nSlow)
-min.Slow = range.Slow[1]
-max.Slow = range.Slow[2]
-
-nrows = range.Fast[2] - range.Fast[1] + 1
-ncols = range.Slow[2] - range.Slow[1] + 1
-
-# results
-
-range.Net.Trading.PL = range(stats$Net.Trading.PL)
-min.Net.Trading.PL = range.Net.Trading.PL[1]
-max.Net.Trading.PL = range.Net.Trading.PL[2]
-length.Net.Trading.PL = range.Net.Trading.PL[2] - range.Net.Trading.PL[1] + 1
-
-range.Max.Drawdown = range(stats$maxDrawdown)
-min.Max.Drawdown = range.Max.Drawdown[1]
-max.Max.Drawdown = range.Max.Drawdown[2]
-length.Max.Drawdown = range.Max.Drawdown[2] - range.Max.Drawdown[1] + 1
-
-range.Avg.Trade.PL = range(stats$Avg.Trade.PL)
-min.Avg.Trade.PL = range.Avg.Trade.PL[1]
-max.Avg.Trade.PL = range.Avg.Trade.PL[2]
-length.Avg.Trade.PL = range.Avg.Trade.PL[2] - range.Avg.Trade.PL[1] + 1
-
-range.Num.Trades = range(stats$Num.Trades)
-min.Num.Trades = range.Num.Trades[1]
-max.Num.Trades = range.Num.Trades[2]
-length.Num.Trades = range.Num.Trades[2] - range.Num.Trades[1] + 1
-
-Net.Trading.PL = matrix(NA, nrows, ncols)
-Max.Drawdown = matrix(NA, nrows, ncols)
-Avg.Trade.PL = matrix(NA, nrows, ncols)
-Num.Trades = matrix(NA, nrows, ncols)
-
-for(i in 1:length(stats$Net.Trading.PL))
-{
-	fast = stats$Param.indicator.1.nFast[i]
-	slow = stats$Param.indicator.2.nSlow[i]
-
-	Net.Trading.PL	[fast-min.Fast+1, slow-min.Slow+1] = stats$Net.Trading.PL[[i]]
-	Max.Drawdown	[fast-min.Fast+1, slow-min.Slow+1] = stats$maxDrawdown[[i]]
-	Avg.Trade.PL	[fast-min.Fast+1, slow-min.Slow+1] = stats$Avg.Trade.PL[[i]]
-	Num.Trades	[fast-min.Fast+1, slow-min.Slow+1] = stats$Num.Trades[[i]]
-}
-
-# make graphs
-
-options(scipen=99)
-
-colors <- rainbow(length.Net.Trading.PL, start=0, end=6/6)[Net.Trading.PL - min.Net.Trading.PL + 1]
-rgl.open()
-rgl.surface(x=min.Fast:max.Fast, z=min.Slow:max.Slow, y=Net.Trading.PL, color=colors)
-rgl.planes(a=1, alpha=0.7)
-aspect3d(1,1,1)
-axes3d()
-title3d('luxor',NULL,'FastSMA','Net.Trading.PL','SlowSMA')
-
-colors <- rainbow(length.Max.Drawdown, start=0, end=4/6)[Max.Drawdown - min.Max.Drawdown + 1]
-rgl.open()
-rgl.surface(x=min.Fast:max.Fast, z=min.Slow:max.Slow, y=Max.Drawdown, color=colors)
-aspect3d(1,1,1)
-axes3d()
-title3d('luxor',NULL,'FastSMA','Max.Drawdown','SlowSMA')
-
-colors <- rainbow(length.Avg.Trade.PL, start=0, end=6/6)[Avg.Trade.PL - min.Avg.Trade.PL + 1]
-rgl.open()
-rgl.surface(x=min.Fast:max.Fast, z=min.Slow:max.Slow, y=Avg.Trade.PL, color=colors)
-rgl.planes(a=1, alpha=0.7)
-aspect3d(1,1,1)
-axes3d()
-title3d('luxor',NULL,'FastSMA','Avg.Trade.PL','SlowSMA')
-
-colors <- rainbow(length.Num.Trades, start=0, end=3/6)[Num.Trades - min.Num.Trades + 1]
-rgl.open()
-rgl.surface(x=min.Fast:max.Fast, z=min.Slow:max.Slow, y=Num.Trades, color=colors)
-aspect3d(1,1,1)
-axes3d()
-title3d('luxor',NULL,'FastSMA','Num.Trades','SlowSMA')
-