[Blotter-commits] r1371 - in pkg/quantstrat: R man

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

Author: opentrades
Date: 2013-01-20 22:59:33 +0100 (Sun, 20 Jan 2013)
New Revision: 1371

Modified:
   pkg/quantstrat/R/paramsets.R
   pkg/quantstrat/R/utils.R
   pkg/quantstrat/R/walk.forward.R
   pkg/quantstrat/man/apply.paramset.Rd
Log:
- add must.be.environment() function
- modified apply.paramset() audit parameter, must now be NULL or specify an env to store info
- moved saving of env in a file from apply.paramset() to walk.forward()



Modified: pkg/quantstrat/R/paramsets.R
===================================================================
--- pkg/quantstrat/R/paramsets.R	2013-01-17 20:58:10 UTC (rev 1370)
+++ pkg/quantstrat/R/paramsets.R	2013-01-20 21:59:33 UTC (rev 1371)
@@ -349,20 +349,22 @@
 #' @param user.func an optional user-supplied function to be run for each param.combo at the end, either on the slave or on the master (see calc)
 #' @param user.args user-supplied list of arguments for user.func
 #' @param calc 'slave' to run updatePortfolio() and tradesStats() on the slave and return all portfolios and orderbooks as a list: higher parallelization but more data transfer between master and slave; 'master' to have updatePortf() and tradeStats() run at the master and return all portfolios and orderbooks in the .blotter and .strategy environments resp: less parallelization but also less data transfer between slave and master; default is 'slave'
-#' @param audit.st optional filename for storage of audit data
+#' @param audit a user-specified environment to store a copy of all portfolios, orderbooks and other data from the tests, or NULL to trash this information
 #' @param verbose return full information, in particular the .blotter environment, default FALSE
 #'
 #' @author Jan Humme
 #' @export
 #' @seealso \code{\link{add.constraint}}, \code{\link{add.constraint}}, \code{\link{delete.paramset}}
 
-apply.paramset <- function(strategy.st, paramset.label, portfolio.st, account.st, mktdata, nsamples=0, user.func=NULL, user.args=NULL, calc='slave', audit.st=NULL, verbose=FALSE)
+apply.paramset <- function(strategy.st, paramset.label, portfolio.st, account.st, mktdata, nsamples=0, user.func=NULL, user.args=NULL, calc='slave', audit=NULL, verbose=FALSE)
 {
     must.have.args(match.call(), c('strategy.st', 'paramset.label', 'portfolio.st'))
 
     strategy <- must.be.strategy(strategy.st)
     must.be.paramset(strategy, paramset.label)
 
+    if(!is.null(audit)) must.be.environment(audit)
+
     portfolio <- getPortfolio(portfolio.st)
     account <- getAccount(account.st)
     orderbook <- getOrderBook(portfolio.st)
@@ -378,7 +380,10 @@
     env.functions <- c('clone.portfolio', 'clone.orderbook', 'install.param.combo')
     env.instrument <- as.list(FinancialInstrument:::.instrument)
 
-    .audit <- new.env()
+    if(is.null(audit))
+        .audit <- new.env()
+    else
+        .audit <- audit
 
     combine <- function(...)
     {
@@ -474,8 +479,8 @@
     results$distributions <- distributions
     results$constraints <- constraints
 
-    if(!is.null(audit.st))
-        save(.audit, file=paste(audit.st, 'RData', sep='.'))
+    if(is.null(audit))
+        .audit <- NULL
 
     return(results)
 }

Modified: pkg/quantstrat/R/utils.R
===================================================================
--- pkg/quantstrat/R/utils.R	2013-01-17 20:58:10 UTC (rev 1370)
+++ pkg/quantstrat/R/utils.R	2013-01-20 21:59:33 UTC (rev 1371)
@@ -23,6 +23,12 @@
     }
 }
 
+must.be.environment <- function(e)
+{
+    if(!is.environment(e))
+        stop(paste(e, ': not an environment', sep=''))
+}
+
 must.be.strategy <- function(strategy)
 {
     if(!is.strategy(strategy))

Modified: pkg/quantstrat/R/walk.forward.R
===================================================================
--- pkg/quantstrat/R/walk.forward.R	2013-01-17 20:58:10 UTC (rev 1370)
+++ pkg/quantstrat/R/walk.forward.R	2013-01-20 21:59:33 UTC (rev 1371)
@@ -101,15 +101,23 @@
 
             print(paste('=== training', paramset.label, 'on', training.timespan))
 
+            audit.env <- NULL
             if(!is.null(audit.prefix))
-                audit.st <- paste(audit.prefix, index(symbol[training.start]), index(symbol[training.end]), sep='.')
+                audit.env <- new.env()
 
             # run backtests on training window
             result$apply.paramset <- apply.paramset(strategy.st=strategy.st, paramset.label=paramset.label,
                 portfolio.st=portfolio.st, account.st=account.st,
                 mktdata=symbol[training.timespan], nsamples=nsamples,
-                calc='slave', audit.st=audit.st, verbose=verbose, ...=...)
+                calc='slave', audit=audit.env, verbose=verbose, ...=...)
 
+            if(!is.null(audit.prefix))
+            {
+                save(audit.env, file=paste(audit.prefix, index(symbol[training.start]), index(symbol[training.end]), 'RData', sep='.'))
+
+                audit.env <- NULL
+            }
+
             tradeStats.list <- result$apply.paramset$tradeStats
 
             if(!missing(k.testing) && k.testing>0)

Modified: pkg/quantstrat/man/apply.paramset.Rd
===================================================================
--- pkg/quantstrat/man/apply.paramset.Rd	2013-01-17 20:58:10 UTC (rev 1370)
+++ pkg/quantstrat/man/apply.paramset.Rd	2013-01-20 21:59:33 UTC (rev 1371)
@@ -4,7 +4,7 @@
 \usage{
   apply.paramset(strategy.st, paramset.label, portfolio.st,
     account.st, mktdata, nsamples = 0, user.func = NULL,
-    user.args = NULL, calc = "slave", audit.st = NULL,
+    user.args = NULL, calc = "slave", audit = NULL,
     verbose = FALSE)
 }
 \arguments{
@@ -40,8 +40,9 @@
   also less data transfer between slave and master; default
   is 'slave'}
 
-  \item{audit.st}{optional filename for storage of audit
-  data}
+  \item{audit}{a user-specified environment to store a copy
+  of all portfolios, orderbooks and other data from the
+  tests, or NULL to trash this information}
 
   \item{verbose}{return full information, in particular the
   .blotter environment, default FALSE}