All, Iiya and I?have implemented a stochastic oscillator OBOS strategy?within quantstrat. I?have?then?applied quantstrat's intraday GBPUSD data, 30min frequency with the strategy, including transaction costs (as in the other demos). Thereafter I have attempted to optimize various values e.g. (i) nSlowD, vary from 1-to-10 (ii) the lower level (over-sold) vary from .10-to-.30 (ii) the upper level (over-bought) vary from .70-to-.90 I get the error error calling combine function: <simpleError in fun(result.1, result.2, result.3, result.4, result.5, result.6, result.7, result.8, result.9,..., result.100): attempt to select less than one element> Attached are both programs: initial strategy and optimization. An?error?corresponding to this from last month?http://r-forge.r-project.org/forum/forum.php?set=custom&forum_id=1032&style=nested&max_rows=100&submit=Change+View Please help! Amarjit -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140410/78a267d1/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD.R Type: application/octet-stream Size: 8077 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140410/78a267d1/attachment.obj> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD_optimization.R Type: application/octet-stream Size: 4060 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140410/78a267d1/attachment-0001.obj>
stochastic oscillator OBOS - intraday data & optimization
3 messages · amarjit chandhial, Ilya Kipnis
6 days later
Can someone provide guidance on getting the optimization working. Amarjit ----- Forwarded Message ----- From: amarjit chandhial <a.chandhial at btinternet.com> To: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org> Sent: Thursday, 10 April 2014, 22:26 Subject: [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization All, Iiya and I?have implemented a stochastic oscillator OBOS strategy?within quantstrat. I?have?then?applied quantstrat's intraday GBPUSD data, 30min frequency with the strategy, including transaction costs (as in the other demos). Thereafter I have attempted to optimize various values e.g. (i) nSlowD, vary from 1-to-10 (ii) the lower level (over-sold) vary from .10-to-.30 (ii) the upper level (over-bought) vary from .70-to-.90 I get the error error calling combine function: <simpleError in fun(result.1, result.2, result.3, result.4, result.5, result.6, result.7, result.8, result.9,..., result.100): attempt to select less than one element> Attached are both programs: initial strategy and optimization. An?error?corresponding to this from last month?http://r-forge.r-project.org/forum/forum.php?set=custom&forum_id=1032&style=nested&max_rows=100&submit=Change+View 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. -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140417/f4cd6a3d/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD.R Type: application/octet-stream Size: 8077 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140417/f4cd6a3d/attachment.obj> -------------- next part -------------- A non-text attachment was scrubbed... Name: ac_stochOSC_OBOS_GBPUSD_optimization.R Type: application/octet-stream Size: 4060 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20140417/f4cd6a3d/attachment-0001.obj>
2 days later
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