#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
# 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)
#
# Paragraph 3.4: luxor timespan paramset optimization
require(quantstrat)
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
source(paste0(path.package("quantstrat"),"/demo/luxor.getSymbols.R"))
### blotter
initPortf(portfolio.st, symbols='GBPUSD', currency='USD')
initAcct(account.st, portfolios=portfolio.st, currency='USD')
### quantstrat
initOrders(portfolio.st)
load.strategy(strategy.st)
### doMC
if (!"doMC" %in% installed.packages()[,1]) {
install.packages("doMC")
}
require(doMC)
registerDoMC(cores=8)
#require(doParallel)
#registerDoParallel(cores=2)
#require(doRedis)
#registerDoRedis('jobs')
results <- apply.paramset(strategy.st, paramset.label='Timespan', portfolio.st=portfolio.st, account.st=account.st, nsamples=.nsamples, verbose=TRUE)
###
stats <- results$tradeStats
print(stats)
save(stats, file='luxor.4.paramset.timespan.RData')
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