demo/luxor.sample.walk.forward.R

In R-Finance/quantstrat: Quantitative Strategy Model Framework

#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Walk forward chart sample

require('quantstrat')

chart.forward.testing('../data/luxor.wfa.ples.GBPUSD.2003-01-02 05:30:00.2003-03-31 23:30:00.RData')

##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
#  # use test dates
#  {initDate="2011-01-01" 
#  endDate="2012-12-31"   
#  } else
#  # use demo defaults
#  {initDate="1999-12-31"
#  endDate=Sys.Date()}

##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ################### 
# book  = getOrderBook(port)
# stats = tradeStats(port)
# rets  = PortfReturns(acct)
################################################################