#!/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)
require(quantstrat)
##### 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()}
source(paste0(path.package("quantstrat"),"/demo/luxor.include.R"))
###
strategy.st <- 'luxor'
###
load.strategy(strategy.st)
### SMA paramset
add.distribution(strategy.st,
paramset.label = 'SMA',
component.type = 'indicator',
component.label = 'nFast',
variable = list(n = .FastSMA),
label = 'nFAST'
)
add.distribution(strategy.st,
paramset.label = 'SMA',
component.type = 'indicator',
component.label = 'nSlow',
variable = list(n = .SlowSMA),
label = 'nSLOW'
)
add.distribution.constraint(strategy.st,
paramset.label = 'SMA',
distribution.label.1 = 'nFAST',
distribution.label.2 = 'nSLOW',
operator = '<',
label = 'SMA'
)
### Timespan paramset
add.distribution(strategy.st,
paramset.label = 'Timespan',
component.type = 'rule',
component.label = 'timespan',
variable = list(n = .timespans),
label = 'Timespan'
)
###
save.strategy(strategy.st)
##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
# book = getOrderBook(port)
# stats = tradeStats(port)
# rets = PortfReturns(acct)
################################################################
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