[Blotter-commits] r1110 - in pkg/quantstrat: data demo

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

Author: opentrades
Date: 2012-07-30 13:00:47 +0200 (Mon, 30 Jul 2012)
New Revision: 1110

Added:
   pkg/quantstrat/data/luxor.250.RData
   pkg/quantstrat/demo/luxorGraphs.R
Log:
added rgl graphs for luxor plus some test data to demos

Added: pkg/quantstrat/data/luxor.250.RData
===================================================================
(Binary files differ)


Property changes on: pkg/quantstrat/data/luxor.250.RData
___________________________________________________________________
Added: svn:mime-type
   + application/octet-stream

Added: pkg/quantstrat/demo/luxorGraphs.R
===================================================================
--- pkg/quantstrat/demo/luxorGraphs.R	                        (rev 0)
+++ pkg/quantstrat/demo/luxorGraphs.R	2012-07-30 11:00:47 UTC (rev 1110)
@@ -0,0 +1,89 @@
+#!/usr/bin/Rscript --vanilla
+
+require(rgl)
+
+load('../data/luxor.250.RData')
+
+# parameters
+
+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
+
+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')
+