[Blotter-commits] r1595 - in pkg/quantstrat: . demo

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

Author: braverock
Date: 2014-03-29 21:56:08 +0100 (Sat, 29 Mar 2014)
New Revision: 1595

Modified:
   pkg/quantstrat/NAMESPACE
   pkg/quantstrat/demo/macdParameters.R
   pkg/quantstrat/demo/rsi.R
Log:
- remove traiing function not pushed to R-Forge svn yet

Modified: pkg/quantstrat/NAMESPACE
===================================================================
--- pkg/quantstrat/NAMESPACE	2014-03-29 20:39:45 UTC (rev 1594)
+++ pkg/quantstrat/NAMESPACE	2014-03-29 20:56:08 UTC (rev 1595)
@@ -13,7 +13,7 @@
 export(applySignals)
 export(applyStrategy)
 export(applyStrategy.rebalancing)
-export(applyStrategy.rebalancing.training)
+#export(applyStrategy.rebalancing.training)
 export(chart.forward)
 export(chart.forward.training)
 export(delete.paramset)

Modified: pkg/quantstrat/demo/macdParameters.R
===================================================================
--- pkg/quantstrat/demo/macdParameters.R	2014-03-29 20:39:45 UTC (rev 1594)
+++ pkg/quantstrat/demo/macdParameters.R	2014-03-29 20:56:08 UTC (rev 1595)
@@ -1,74 +1,74 @@
-# Parameter demo for MACD demo
-# 
-# Author: Yu Chen
-###############################################################################
-
-require(foreach,quietly=TRUE)
-require(quantstrat)
-
-demo('macd',ask=FALSE)
-
-# example parallel initialization for doParallel. this or doMC, or doRedis are 
-# most probably preferable to doSMP
-#require(doParallel)
-#registerDoParallel() # by default number of physical cores -1
-
-
-#please run macd demo before all these...
-
-#retrieve the strategy from the environment, since the 'macd' strategy uses store=TRUE
-stratMACD<-getStrategy('macd')
-
-paramStructure<-getParameterTable(stratMACD)
-
-rm(tPD2)
-
-
-# Just provide leagal values and use random sampling.
-# Make nFast and nSlow over lap from 20 to 30 to test the constrains later.
-# First call don't need to input tPD2, the funciton will initial one and return it.
-
-tPD2<-setParameterDistribution(type='indicator',indexnum=1,distribution=list(nFast=(10:30)),label='nFast')
-
-# Initial one tPD2 and pass it also works as following two lines:
-## tPD2<-setParameterDistribution() 
-## tPD2<-setParameterDistribution(type='indicator',indexnum=1,distribution=list(nFast=(10:30)),label='nFast')
-
-tPD2<-setParameterDistribution(tPD2,type='indicator',indexnum=1,distribution=list(nSlow=(20:40)),label='nSlow')
-tPD2<-setParameterDistribution(tPD2,type='signal',indexnum=1,distribution=list(relationship=c('gt','gte')),label='sig1.gtgte')
-
-# Put constrains to the nFast and nSlow parameters.
-pConstraint2<-setParameterConstraint(constraintLabel='macdPC',paramList=c('nFast','nSlow'),relationship='lt')
-
-
-
-#testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2)
-#system.time(testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2))
-
-
-laststpar.rnd<-system.time(
-		testPackListPL<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=20,parameterConstraints=pConstraint2)
-)
-#laststpar.rnd
-
-# Please run either random mode or expand mode, since the latter run will overwrite the objects in .blotter.
-#laststpar.exp<-system.time(
-#		testPackListPL<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=20,parameterConstrains=pConstraint2)
-#)
-if(verbose >=1) print(laststpar.exp)
-
-#examine the stats from this parameter run:
-if(verbose >=1) print(testPackListPL$statsTable)
-
-##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
-# if(!exists('in_test') || !isTRUE(in_test)){
-#     initDate='2005-12-31' # ensure this is demo default
-#     endDate=Sys.Date()    # ensure this is demo default
-# }
-################################################################
-
-##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ################### 
-# book  = getOrderBook(port)
-# stats = tradeStats(port)
-# rets  = PortfReturns(acct)
-################################################################
+# Parameter demo for MACD demo
+# 
+# Author: Yu Chen
+###############################################################################
+
+require(foreach,quietly=TRUE)
+require(quantstrat)
+
+demo('macd',ask=FALSE)
+
+# example parallel initialization for doParallel. this or doMC, or doRedis are 
+# most probably preferable to doSMP
+#require(doParallel)
+#registerDoParallel() # by default number of physical cores -1
+
+
+#please run macd demo before all these...
+
+#retrieve the strategy from the environment, since the 'macd' strategy uses store=TRUE
+stratMACD<-getStrategy('macd')
+
+paramStructure<-getParameterTable(stratMACD)
+
+rm(tPD2)
+
+
+# Just provide leagal values and use random sampling.
+# Make nFast and nSlow over lap from 20 to 30 to test the constrains later.
+# First call don't need to input tPD2, the funciton will initial one and return it.
+
+tPD2<-setParameterDistribution(type='indicator',indexnum=1,distribution=list(nFast=(10:30)),label='nFast')
+
+# Initial one tPD2 and pass it also works as following two lines:
+## tPD2<-setParameterDistribution() 
+## tPD2<-setParameterDistribution(type='indicator',indexnum=1,distribution=list(nFast=(10:30)),label='nFast')
+
+tPD2<-setParameterDistribution(tPD2,component.type='indicator',indexnum=1,distribution=list(nSlow=(20:40)),label='nSlow')
+tPD2<-setParameterDistribution(tPD2,component.type='signal',indexnum=1,distribution=list(relationship=c('gt','gte')),label='sig1.gtgte')
+
+# Put constrains to the nFast and nSlow parameters.
+pConstraint2<-setParameterConstraint(constraintLabel='macdPC',paramList=c('nFast','nSlow'),relationship='lt')
+
+
+
+#testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2)
+#system.time(testPackList2<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=3,parameterConstrains=pConstraint2))
+
+
+laststpar.rnd<-system.time(
+		testPackListPL<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=20,parameterConstraints=pConstraint2)
+)
+#laststpar.rnd
+
+# Please run either random mode or expand mode, since the latter run will overwrite the objects in .blotter.
+#laststpar.exp<-system.time(
+#		testPackListPL<-applyParameter(strategy=stratMACD,portfolios=portfolio.st,parameterPool=tPD2,method='random',sampleSize=20,parameterConstrains=pConstraint2)
+#)
+if(verbose >=1) print(laststpar.exp)
+
+#examine the stats from this parameter run:
+if(verbose >=1) print(testPackListPL$statsTable)
+
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+# if(!exists('in_test') || !isTRUE(in_test)){
+#     initDate='2005-12-31' # ensure this is demo default
+#     endDate=Sys.Date()    # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ################### 
+# book  = getOrderBook(port)
+# stats = tradeStats(port)
+# rets  = PortfReturns(acct)
+################################################################

Modified: pkg/quantstrat/demo/rsi.R
===================================================================
--- pkg/quantstrat/demo/rsi.R	2014-03-29 20:39:45 UTC (rev 1594)
+++ pkg/quantstrat/demo/rsi.R	2014-03-29 20:56:08 UTC (rev 1595)
@@ -103,6 +103,7 @@
     charts.PerformanceSummary(ret1$total,geometric=FALSE,wealth.index=TRUE)
 }
 
+
 ###############################################################################
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #