check_if_optimize: Function check_if_optimize.

In lazytrade: Learn Computer and Data Science using Algorithmic Trading

Function check_if_optimize.

Description

Purpose of this function is to verify trading system functionality by analysing profit factor on the last trades. Whenever trading robot has profit factor value below certain limit function will write a file log indicating which trading systems need to be maintained.

Learn by example how to manipulate data

Usage

check_if_optimize(
  x,
  system_list,
  path_data,
  num_trades_to_consider = 3,
  profit_factor_limit = 0.7,
  write_mode = FALSE
)

Arguments

x	dataframe containing trading results
system_list	dataframe containing a table with magic numbers used by robots. Stored in file Setup.csv
path_data	string, path to the folder where optimization file should be written
num_trades_to_consider	Number of trades to calculate profit factor
profit_factor_limit	Limit below which trading robot is considered not working properly
write_mode	When true function will write result to the file located in the temporary directory

Details

Whenever there will be not enough trades then empty file will be written to the destination

Value

function returns a dataframe with systems that should be optimized

Author(s)

(C) 2019,2021 Vladimir Zhbanko

Examples

library(lazytrade)
library(magrittr)
library(dplyr)
library(readr)
library(lubridate)

path_data <- normalizePath(tempdir(),winslash = "/")

file.copy(from = system.file("extdata", "Setup.csv", package = "lazytrade"),
          to = file.path(path_data, "Setup.csv"), overwrite = TRUE)

system_list <- read_csv(file.path(path_data, "Setup.csv"))

data(profit_factorDF)


# without writing to the file
check_if_optimize(x = profit_factorDF,
                  system_list = system_list,
                  path_data,
                  num_trades_to_consider = 3,
                  profit_factor_limit = 0.8,
                  write_mode = TRUE)

lazytrade documentation built on Sept. 12, 2024, 9:36 a.m.