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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