[Blotter-commits] r1458 - pkg/quantstrat/demo
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue May 7 23:07:08 CEST 2013
Author: opentrades
Date: 2013-05-07 23:07:07 +0200 (Tue, 07 May 2013)
New Revision: 1458
Modified:
pkg/quantstrat/demo/luxor.1.strategy.basic.R
pkg/quantstrat/demo/luxor.2.add.paramsets.R
pkg/quantstrat/demo/luxor.3.paramset.sma.R
pkg/quantstrat/demo/luxor.4.paramset.timespan.R
pkg/quantstrat/demo/luxor.5.strategy.ordersets.R
pkg/quantstrat/demo/luxor.6.paramset.stoploss.R
pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R
pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R
pkg/quantstrat/demo/luxor.7.exit+risk.R
pkg/quantstrat/demo/luxor.getSymbols.R
pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R
pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R
pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R
pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R
pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R
Log:
- updated luxor demo headers
Modified: pkg/quantstrat/demo/luxor.1.strategy.basic.R
===================================================================
--- pkg/quantstrat/demo/luxor.1.strategy.basic.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.1.strategy.basic.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,11 +2,11 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
-# Paragraph 3.2: luxor with $30 slippage and transaction costs
+# Paragraph 3.2: luxor with slippage and transaction costs
##### PLACE DEMO AND TEST DATES HERE #################
#
Modified: pkg/quantstrat/demo/luxor.2.add.paramsets.R
===================================================================
--- pkg/quantstrat/demo/luxor.2.add.paramsets.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.2.add.paramsets.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,7 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
+#
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
require(quantstrat)
Modified: pkg/quantstrat/demo/luxor.3.paramset.sma.R
===================================================================
--- pkg/quantstrat/demo/luxor.3.paramset.sma.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.3.paramset.sma.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,11 +2,11 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
-# Paragraph 3.2: luxor with $30 slippage and transaction costs
+# Paragraph 3.3: luxor SMA paramset optimization
###
Modified: pkg/quantstrat/demo/luxor.4.paramset.timespan.R
===================================================================
--- pkg/quantstrat/demo/luxor.4.paramset.timespan.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.4.paramset.timespan.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,11 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# Paragraph 3.4: luxor timespan paramset optimization
stop('#### DEMO BROKEN - BEING FIXED ###')
Modified: pkg/quantstrat/demo/luxor.5.strategy.ordersets.R
===================================================================
--- pkg/quantstrat/demo/luxor.5.strategy.ordersets.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.5.strategy.ordersets.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,7 +2,7 @@
#
# Jan Humme (@opentrades) - May 2013
#
-# Tested and found to work correctly using blotter r1448
+# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tomasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoploss.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoploss.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1230
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# compute StopLoss percentage for various paramsets
Modified: pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.6.paramset.stoptrailing.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1230
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# compute StopTrailing percentage for various paramsets
Modified: pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R
===================================================================
--- pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.6.paramset.takeprofit.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1230
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# compute TakeProfit percentage for various paramsets
Modified: pkg/quantstrat/demo/luxor.7.exit+risk.R
===================================================================
--- pkg/quantstrat/demo/luxor.7.exit+risk.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.7.exit+risk.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Paragraph 3.5: determination of appropriate exit and risk management
Modified: pkg/quantstrat/demo/luxor.getSymbols.R
===================================================================
--- pkg/quantstrat/demo/luxor.getSymbols.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.getSymbols.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,11 +2,11 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
-# Paragraph 3.2: luxor with $30 slippage and transaction costs
+# loading symbol data
Sys.setenv(TZ="UTC")
Modified: pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1143
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Figure 3.11: MAE graph of Luxor system
Modified: pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.sample.MAE.stoptrailing.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1143
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Figure 3.12: MAE graph in percentage terms
Modified: pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.sample.MFE.takeprofit.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,9 @@
#
# Jan Humme (@opentrades) - August 2012
#
-# Tested and found to work correctly using blotter r1143
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Figure 3.16: MFE graph in percentage terms
Modified: pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.sample.tradeGraphs.sma.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -2,9 +2,11 @@
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
-# Tested and found to work correctly using blotter r1420
+# Tested and found to work correctly using blotter r1457
#
-# From Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# 3D SMA graph example
require(quantstrat)
Modified: pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R
===================================================================
--- pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R 2013-05-07 20:46:47 UTC (rev 1457)
+++ pkg/quantstrat/demo/luxor.sample.tradeGraphs.timespan.R 2013-05-07 21:07:07 UTC (rev 1458)
@@ -1,4 +1,12 @@
#!/usr/bin/Rscript --vanilla
+#
+# Jan Humme (@opentrades) - August 2012, revised April 2013
+#
+# Tested and found to work correctly using blotter r1457
+#
+# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
+#
+# 3D timespan graph example
require(quantstrat)
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