setParameterDistribution: Function used to create an object that contains the...

In cloudcell/quantstrat: Quantitative Strategy Model Framework

Description

Each call to the function will set/update the distribution of ONE parameter in the 'parameter distribution object' that is associated with a specific strategy.

Usage

setParameterDistribution(paramDist = NULL, strategy, component.type,
  component.label, distribution = NULL, weight, label, psindex = NULL)

Arguments

paramDist	The object in which the parameter list is stored; if this parameter is missing, or object does not exist, the function will return a new object.
strategy	The strategy object
component.type	A character string that specifies the type of the strategy component that contains the parameter, it takes the value in one of 'indicator', 'signal', 'enter', 'exit', 'order', 'chain'.
component.label	The label that uniquely identifies the strategy component that contains the parameter
distribution	Distribution of the parameter, can be any function that returns a vector of value. See detail. (A numerical example: 1:10 or sample(1:20,6)
weight	The weight of each value in the distribution, if missing, the default value of all equal weights will be taken.
label	A string label to apply to the parameter distribution
psindex	A number specify the index within the parameter distribution object, it is used to make change/ repalce a parameter distribution in the object.

Details

Parameter distribution object for one strategy usually won't work for another strategy, because different strategies has different parameter structure. Type of the parameter and the sequence in that type is needed to specify the exact parameter in THAT STRATEGY.

The parameter 'distribution' is a list contains vector of values NAMED WITH THE NAMES OF THE PARAMETERS, the values can be any type (integer, characters, etc) but must match with the legal value of that parameter. For example: distribution=list(nFast=(10:30)) or distribution=list(relationship=c('gt','gte'))

Value

The returned object is a structure contains the distribution of parameters, if the input argument 'paramDist' is provided, the function update the input paramDist object and return the updated one. When specify the distribution of several parameters, usually the first returned object is passed to the next several call of the function as input argument 'paramDist'. See example.

Author(s)

Yu Chen

Examples

## Not run: 
#(For complete demo see parameterTestMACD.R)
tPD2<-setParameterDistribution(tPD2, strat, component.type='indicator', component.label='FastSMA', 
     distribution=list(nFast=(10:30)), label='nFast')
tPD2<-setParameterDistribution(tPD2, strat, component.type='indicator', component.label='SlowSMA', 
     distribution=list(nSlow=(20:40)), label='nSlow')
tPD2<-setParameterDistribution(tPD2, strat, component.type='signal', component.label='go.long', 
     distribution=list(relationship=c('gt', 'gte')), label='sig1.gtgte')

## End(Not run)

cloudcell/quantstrat documentation built on May 13, 2019, 8:03 p.m.