stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
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Via? the TIMEFILTER program,?tradestats e.g.?Gross.Profits are:
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T07:00/T20:00????Gross.Profits????1571.112
T08:00/T21:00????Gross.Profits?????601.9379?
T09:00/T22:00????Gross.Profits???? 601.9379?
T10:00/T23:00????Gross.Profits???? 783.9936
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I have altered add.distribution in the TIMESPAN program
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?add.distribution(strategy.st,
????????????????????????paramset.label = 'Timespan',
????????????????????????component.type = 'indicator',?????# one of c('indicator', 'signal', 'order', 'enter', 'exit', 'chain')? --- have tried all of these!
????????????????????????component.label = 'timespan',
????????????????????????variable = list(n = .timespans),
????????????????????????label = 'TIMESPAN')
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However, the tradestats?remain only for T07:00/T20:00.
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Amarjit
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----- Forwarded Message -----
From: amarjit chandhial <a.chandhial at btinternet.com> To: ""ilya.kipnis at gmail.com"" <ilya.kipnis at gmail.com>; ""r-sig-finance at r-project.org"" <r-sig-finance at r-project.org> Sent: Friday, 16 May 2014, 13:50 Subject: [R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS Opps, forgot the .RData strategy file for the TIMESPAN program. Amarjit ----- Forwarded Message -----
From: amarjit chandhial <a.chandhial at btinternet.com> To: "ilya.kipnis at gmail.com" <ilya.kipnis at gmail.com>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org> Sent: Friday, 16 May 2014, 12:53 Subject: [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS Hi Ilya, Have returned with our stochastic oscillator OBOS strategy. Where we were last time was optimizing nSlowD?& the OBOS?thresholds. I will?guess that everything was correct there, inequalities etc, if not let me know! Therefore I'll carry-on with including?a timefilter to our strategy and optimizing timespans (various timefilters). As this is for demo and given only a few days of intraday data the values for nSlowD and OBOS thresholds can remain at 5, 80, & 20, respectively (ordinarily?this'll be on the optimized values).?I have also?uncommented the short-side as?we have an fx rate?GBPUSD, not a stock. Attached: (1)?Vanilla +?inclusion of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. This appears to be filtering correctly. (2)??Various timefilters i.e. timespans for optimization. Although the program runs,?it does not appear to be optimizing. I am having problems with add.distribution and apply.paramset functions. Please help! ? Amarjit?
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