###
options(width = 240)
#options(warn=1)
Sys.setenv(TZ="UTC")
###
initDate = '2002-10-21'
.from=initDate
#.to='2008-07-04'
.to='2002-10-31'
###
strategy.st = 'luxor'
portfolio.st = 'forex'
account.st = 'IB'
###
.orderqty = 100000
.threshold = 0.0005
.txnfees = -6 # round-trip fee
### Distributions for paramset analysis
.nsamples=80
.FastSMA = (1:20)
.SlowSMA = (30:80)
.StopLoss = seq(0.05, 2.4, length.out=48)/100
.StopTrailing = seq(0.05, 2.4, length.out=48)/100
.TakeProfit = seq(0.1, 4.8, length.out=48)/100
.FastWFA = c(1, 3, 5, 7, 9)
.SlowWFA = c(42, 44, 46)
# generate 24x24h ISO8601 timespan vector
.timespans.start<-paste(sprintf("T%02d",0:23),':00',sep='')
.timespans.stop<-paste(sprintf("T%02d",0:23),':59',sep='')
.timespans<-outer(.timespans.start, .timespans.stop, FUN=paste, sep='/')
# in order to run the full 24x24 hour scan above, comment out the following line:
.timespans<-c('T06:00/T10:00', 'T07:00/T11:00', 'T08:00/T12:00', 'T09:00/T13:00', 'T10:00/T14:00', 'T11:00/T15:00', 'T12:00/T16:00')
### Actual arameters
.fast = 6
.slow = 44
#.timespan = 'T09:00/T13:00'
#.timespan = 'T00:00/T23:59'
.timespan = NULL
.stoploss <- 0.40/100
.stoptrailing <- 0.8/100
.takeprofit <- 2.0/100
suppressWarnings(rm(list = c(paste("account", account.st, sep='.'), paste("portfolio", portfolio.st, sep='.')), pos=.blotter))
suppressWarnings(rm(list = c(strategy.st, paste("order_book", portfolio.st, sep='.')), pos=.strategy))
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