addDistributionConstraint: Add constraints to distributions

In Vitalic57/stratbuilder2pub: It Provides Tools to Create and Backtest Financial Models

Description

Add constraints to distributions

This method add the same distributions' constraint to each model in list

Usage

addDistributionConstraint(this, paramset.label, expr, label)

## S3 method for class 'modelStrategy'
addDistributionConstraint(this, paramset.label, expr,
  label)

## S3 method for class 'list'
addDistributionConstraint(this, ...)

## S3 method for class 'modelPortfolio'
addDistributionConstraint(this, ...)

Arguments

this	model
paramset.label	character, paramset label
expr	expression, that contains names from labels of distributions
label	character, name of the constraint
...	params for addDistribution

Examples

## Not run: 
addIndicator(this, args = list(name = BBands, HLC = quote(spread), n = 20, sd = 1), as = 'bb',
        lookback = 100)
addDistribution(this,
    paramset.label = paramset,
    component.type = 'indicator',
    component.label = 'bb',
    variable = list(sd = seq(0.5,3,0.05)),
    label = 'bb.sd'
)

addRule(this, as = 'bb_up_dn',
     condition = (Lag(spread,1) > Lag(bb[, 'up'],1)) &
                  (spread < bb[, 'up']) &
                  (spread > bb[, 'mavg']) &
                  (abs(spread - bb[ ,'mavg'])/spread  > n) ,
     type = 'enter',
     args = list(n = 0.005),
     side = -1,
     oco = 'short',
     osFun = stratbuilder2pub:::sameMoneyOs,
     osFun_args = alist(amount = 5000000))
addDistribution(this,
    paramset.label = paramset,
    component.type = 'rule',
    component.label = 'bb_up_dn',
    variable = list(n = seq(0.005,0.03,0.002)),
    label = 'my_distr'
)

addDistributionConstraint(this,
    paramset.label = paramset,
    expr = bb.sd > my_distr * 100
)

## End(Not run)

Vitalic57/stratbuilder2pub documentation built on Dec. 18, 2019, 2:56 a.m.