apply.paramset: Apply a paramset to the strategy

Description Usage Arguments Details Author(s) See Also

Description

This function will run applyStrategy() on portfolio.st, once for each parameter combination as specified by the parameter distributions and constraints in the paramset. Results are gathered and returned as a list containing a slot for each parameter combination.

Usage

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apply.paramset(strategy.st, paramset.label, portfolio.st, account.st,
  mktdata = NULL, nsamples = 0, user.func = NULL, user.args = NULL,
  calc = "slave", audit = NULL, packages = NULL, verbose = FALSE,
  paramsets, ...)

Arguments

strategy.st

the name of the strategy object

paramset.label

a label uniquely identifying the paramset within the strategy

portfolio.st

the name of the portfolio

account.st

the name of the account

mktdata

optional xts mktdata object, will be passed unchanged to applyStrategy

nsamples

if > 0 then take a sample of only size nsamples from the paramset

user.func

an optional user-supplied function to be run for each param.combo at the end, either on the slave or on the master (see calc)

user.args

user-supplied list of arguments for user.func

calc

'slave' to run updatePortfolio() and tradesStats() on the slave and return all portfolios and orderbooks as a list: higher parallelization but more data transfer between master and slave; 'master' to have updatePortf() and tradeStats() run at the master and return all portfolios and orderbooks in the .blotter and .strategy environments resp: less parallelization but also less data transfer between slave and master; default is 'slave'

packages

a vector specifying names of R packages to be loaded by the slave, default NULL

audit

a user-specified environment to store a copy of all portfolios, orderbooks and other data from the tests, or NULL to trash this information

verbose

return full information, in particular the .blotter environment, default FALSE

paramsets

a user-sepcified (sub)set of paramsets to run

...

any other passthru parameters

Details

apply.paramset uses the foreach package to start the runs for each parameter combination, and as such allows for parallel processing. It is up to the caller to load and register an appropriate backend, eg. doMC, doParallel or doRedis.

Author(s)

Jan Humme

See Also

add.distribution.constraint, add.distribution.constraint, delete.paramset


redmode/quantstrat documentation built on May 27, 2019, 4:04 a.m.