#!/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)
#
# 3D timespan graph example
require(quantstrat)
load(paste0(
path.package('quantstrat'),
'/data/luxor.timespan.24x24.2002-2008.RData')
)
names(stats)[names(stats)=='testPackListPRL[[k]]$parameters']<-'timespan'
stats$tmp = strsplit(as.character(stats$timespan),'/')
stats$from<-sapply(stats$tmp,FUN='[',1)
stats$to<-sapply(stats$tmp,FUN='[',2)
stats$start<-as.numeric(gsub('T([0-9]+):[0-9]+',x=stats$from,'\\1'))
stats$stop<-(as.numeric(gsub('T([0-9]+):[0-9]+',x=stats$to,'\\1'))+1)%%24
# trading data is in EST (GMT-4): move 4 hours to adjust to GMT
#stats$start<-(stats$start+4)%%24
#stats$stop<-(stats$stop+4)%%24
tradeGraphs(
stats,
free.params=c('start','stop'),
statistics=c('Net.Trading.PL','maxDrawdown',"Avg.Trade.PL",'Num.Trades',"Profit.Factor"),
title = 'Luxor Intraday TimeWindow Scan'
)
##### PLACE DEMO AND TEST DATES HERE #################
#
#if(isTRUE(options('in_test')$in_test))
# # use test dates
# {initDate="2011-01-01"
# endDate="2012-12-31"
# } else
# # use demo defaults
# {initDate="1999-12-31"
# endDate=Sys.Date()}
##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
# book = getOrderBook(port)
# stats = tradeStats(port)
# rets = PortfReturns(acct)
################################################################
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