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? -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140516/07b2c5b1/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD_vanilla_TIMEFILTER.R Type: application/octet-stream Size: 7604 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140516/07b2c5b1/attachment.obj> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD_vanilla_TIMESPAN.R Type: application/octet-stream Size: 3735 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140516/07b2c5b1/attachment-0001.obj>
stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
5 messages · amarjit chandhial
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?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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1 day later
??
Via? the TIMEFILTER program,?tradestats e.g.?Gross.Profits are:
?
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
?
?
?
I have altered add.distribution in the TIMESPAN program
?
?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')
?
However, the tradestats?remain only for T07:00/T20:00.
?
?
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, 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?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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2 days later
? ? Am throwing this open to all on the quantstrat team, or others. ? ? 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: Sunday, 18 May 2014, 9:59
Subject: [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
??
Via? the TIMEFILTER program,?tradestats e.g.?Gross.Profits are:
?
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
?
?
?
I have altered add.distribution in the TIMESPAN program
?
?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')
?
However, the tradestats?remain only for T07:00/T20:00.
?
?
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, 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?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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6 days later
A reminder. Amarjit ----Original message----
From : a.chandhial at btinternet.com
Date : 18/05/2014 - 09:59 (GMTDT)
To : ilya.kipnis at gmail.com, r-sig-finance at r-project.org
Subject : [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS
Via the TIMEFILTER program, tradestats e.g. Gross.Profits are:
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
I have altered add.distribution in the TIMESPAN program
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')
However, the tradestats remain only for T07:00/T20:00.
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, 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
_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
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