need apply.paramset logging
Executing on minute data won't drive the speed of the path-dependent rules loop, the total number of signals which need to be evaluated will, or the inclusion of things like trailing stops. You should be able to sort out which parameter combination is failing from the print statements. you should also be able to look at the audit environment to see which portfolio you're expecting is missing. Ultimately, this is a problem in your strategy specification... You've created an infeasible parameter combination. You likely want to debug what, specifically, is failing, rather than just skipping the failing parameter set. If you're determined to work with the combine funtion... The .combine argument for foreach is described in the documentation for foreach. See ?foreach. The combine function in apply.paramset is inside the apply.paramset function. We could probably check for a user-supplied combine, or you could modify the combine function inside apply.paramset yourself.
On Tue, 2016-03-22 at 15:45 +0100, Diego Peroni wrote:
Brain thanks for your answers! My strategy take a long time to run because it is "minute" based and runs over 6 years. I've just 100 combinations so it is not the best to reduce nsamples to find errors. If I reduce time range (2 o 3 years) it doesn't fail. If I run sequentially it take a very long time. The best solution remains the last you have indicated: "custom .combine function that could trap errors". Does exist some documentation or example to read? Regards Diego Peroni On 22/03/2016 09:46, Brian G. Peterson wrote:
On 03/22/2016 03:37 AM, Diego Peroni wrote:
I'm testing paramset combinations with:
.....
library(doMC)
registerDoMC(cores=detectCores())
paramsetenv = new.env()
results = apply.paramset(qs.strategy, paramset.label = "MACDOPT",
verbose = TRUE,
portfolio=qs.strategy, account=qs.strategy,
nsamples=0, audit=paramsetenv)
but the procedure returns NULL object with this message:
error calling combine function:
<simpleError: $ operator is invalid for atomic vectors>
Is there a way to log threads errors?
Or how can I modify "apply.paramset" function to "catch" single
simultation error or void result and discard it?
you're setting nsamples=0 so you have zero results to combine. In this case, you told it to run no samples, but I can conceive of a strategy using some MCMC sampler that could fail spontaneously in some circumstances. In a more general sense, you could specify a custom .combine function that could trap errors if there was some possibility that your strategy would fail to return a viable result. A strategy that runs fine in a single core should run fine in apply.paramset. A reasonable way to start testing this beyond a single parameterization would be to set a small number of samples, like nsamples=50 and run it with registerDoSEQ() to run it sequentially. Regards, Brian
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