calcGapStrategyAllParams: Calculate "Open Gap Strategy" performance of all parameter...
In tmk-c/myrlib: My R library for daily work

View source: R/calcGapStrategyAllParams.R

Calculate "Open Gap Strategy" performance of all parameter set.

calcGapStrategyAllParams(data_dbcon_str, strat_dbcon_str,
  ranges = getAnnualRanges(2009, 2018), sma_lens = seq(0, 250, 10),
  sd_lens = seq(10, 250, 10), ato_lens = seq(10, 250, 10),
  ogc_lens = seq(0, 250, 10), side = "Long", sd_thres = seq(0, 0.02,
  0.005), ato_l_thres = c(1e+07), ato_h_thres = Inf,
  ogc_thres = seq(0, -0.01, -0.005), stop_thres = seq(0.1, 2, 0.1),
  min_thres = c(10, 15), slippage = c(0.001), num_trades = c(10),
  lot = c(10000))

`data_dbcon_str`	Data DB connection string.
`strat_dbcon_str`	Strategy DB connection string.
`ranges`	Character vector of ranges in "yyyy-mm-dd::yyyy-mm-dd" format.
`sma_lens`	Integer vector of SMA calculation lengths.
`sd_lens`	Integer vector of SD calculation lengths.
`ato_lens`	Integer vector of Average turnover calculation lengths.
`ogc_lens`	Integer vector of Open Gap Coeficient calculation lengths.
`side`	Order side ("Long" or "Short").
`sd_thres`	Minimum entry threshold of SD.
`ato_l_thres`	Minimum entry threshold of turnover.
`ato_h_thres`	Maximum entry threshold of turnover.
`ogc_thres`	Entry threshold of Open Gap Coeficient.
`stop_thres`	Stop price coeficent of SD.
`min_thres`	Minimum entry threshold of open price.
`slippage`	Slippage percent of entry/exit.
`num_trades`	Number of trades per day.
`lot`	Dollar amount of one trade.