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List: r-sig-finance
Subject: [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMES
From: amarjit chandhial <a.chandhial () btinternet ! com>
Date: 2014-05-18 8:59:40
Message-ID: 1400403580.63886.YahooMailNeo () web186001 ! mail ! ir2 ! yahoo ! com
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Via the TIMEFILTER program, tradestats e.g. Gross.Profits are:
T07:00/T20:00 Gross.Profits 1571.112
T08:00/T21:00 Gross.Profits 601.9379
T09:00/T22:00 Gross.Profits 601.9379
T10:00/T23:00 Gross.Profits 783.9936
I have altered add.distribution in the TIMESPAN program
add.distribution(strategy.st,
paramset.label = 'Timespan',
component.type = 'indicator', # one of c('indicator', \
'signal', 'order', 'enter', 'exit', 'chain') --- have tried all of these! \
component.label = 'timespan', variable = list(n = .timespans),
label = 'TIMESPAN')
However, the tradestats remain only for T07:00/T20:00.
Amarjit
----- Forwarded Message -----
> From: amarjit chandhial <a.chandhial@btinternet.com>
> To: ""ilya.kipnis@gmail.com"" <ilya.kipnis@gmail.com>; \
> ""r-sig-finance@r-project.org"" <r-sig-finance@r-project.org>
> Sent: Friday, 16 May 2014, 13:50
> Subject: [R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & \
> optimization TIMEFILTER & TIMESPANS
>
>
>
>
> Opps, forgot the .RData strategy file for the TIMESPAN program.
>
>
> Amarjit
>
>
>
> ----- Forwarded Message -----
> > From: amarjit chandhial <a.chandhial@btinternet.com>
> > To: "ilya.kipnis@gmail.com" <ilya.kipnis@gmail.com>; \
> > "r-sig-finance@r-project.org" <r-sig-finance@r-project.org>
> > Sent: Friday, 16 May 2014, 12:53
> > Subject: [R-SIG-Finance] stochastic oscillator OBOS - intraday data & \
> > optimization TIMEFILTER & TIMESPANS
> >
> >
> >
> >
> > Hi Ilya,
> >
> >
> > Have returned with our stochastic oscillator OBOS strategy.
> >
> > Where we were last time was optimizing nSlowD & the OBOS thresholds. I will guess \
> > that everything was correct there, inequalities etc, if not let me know! \
> > Therefore I'll carry-on with including a timefilter to our strategy and \
> > optimizing timespans (various timefilters). As this is for demo and given only a \
> > few days of intraday data the values for nSlowD and OBOS thresholds can remain at \
> > 5, 80, & 20, respectively (ordinarily this'll be on the optimized values). I have \
> > also uncommented the short-side as we have an fx rate GBPUSD, not a stock.
> >
> > Attached:
> > (1) Vanilla + inclusion of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. \
> > This appears to be filtering correctly. (2) Various timefilters i.e. timespans \
> > for optimization. Although the program runs, it does not appear to be optimizing. \
> > I am having problems with add.distribution and apply.paramset functions. Please \
> > help!
> >
> >
> > Amarjit
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions should \
> > go.
> >
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>
>
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<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
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<DIV style="RIGHT: auto">
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
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<DIV style="RIGHT: auto">
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
BACKGROUND-COLOR: #fff"> <DIV id=yiv1984092909 style="RIGHT: auto">
<DIV id=yiv1984092909yui_3_7_2_7_1400398942381_74 style="RIGHT: auto">
<DIV id=yiv1984092909yui_3_7_2_7_1400398942381_73 style="FONT-SIZE: 10pt; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909 style="RIGHT: auto"> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_72 style="RIGHT: auto"> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_71 style="FONT-SIZE: 10pt; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_44><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_49></SPAN> </DIV><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1229 style="RIGHT: auto"> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_515 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_514></SPAN> <VAR \
id=yiv1984092909yui-ie-cursor></VAR></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_1253 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1254>Via the TIMEFILTER \
program, tradestats e.g. Gross.Profits are:</SPAN></DIV> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_79 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_7_1400398942381_276></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_876 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_783>T07:00/T20:00<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_186 \
class=yiv1984092909tab> </SPAN><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_820 \
class=yiv1984092909tab>Gross.Profits<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_264 \
class=yiv1984092909tab> 1571.112<VAR \
id=yiv1984092909yui-ie-cursor></VAR></SPAN></SPAN></SPAN></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_973 style="FONT-SIZE: 13px; FONT-FAMILY: \
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id=yiv1984092909yui_3_7_2_5_1400398942381_877 class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_783>T08:00/T21:00<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_209 \
class=yiv1984092909tab> </SPAN><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_820 \
class=yiv1984092909tab>Gross.Profits<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_279 \
class=yiv1984092909tab> 601.9379</SPAN> </SPAN></SPAN></SPAN></SPAN></SPAN></DIV>
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_2507 style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_992><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_880 class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_783>T09:00/T22:00<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_232 \
class=yiv1984092909tab> </SPAN><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_820 \
class=yiv1984092909tab>Gross.Profits<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_292 \
class=yiv1984092909tab> 601.9379</SPAN><SPAN \
id=yiv1984092909yui_3_7_2_12_1400398942381_439 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></DIV>
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_1220 style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1305><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_884 class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_783>T10:00/T23:00<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_255 \
class=yiv1984092909tab> </SPAN><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_820 \
class=yiv1984092909tab>Gross.Profits<SPAN \
id=yiv1984092909yui_3_7_2_13_1400398942381_331 \
class=yiv1984092909tab> \
783.9936</SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></DIV></SPAN>
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_1231 style="RIGHT: auto"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1230></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_1233 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_50></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_2540 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_7_1400398942381_76></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_283 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_12_1400398942381_307 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN id=yiv1984092909yui_3_7_2_5_1400398942381_628>I \
have altered add.distribution in the TIMESPAN <VAR \
id=yui-ie-cursor></VAR>program</SPAN></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_456 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_347></SPAN> <VAR \
id=yiv1984092909yui-ie-cursor></VAR></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_1700 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_350> add.distribution(strategy.st,</SPAN></DIV>
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_1829 style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1698><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1709 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1718 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1727 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1736 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1745 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1754 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>paramset.label \
= 'Timespan',</SPAN></DIV> <DIV id=yiv1984092909yui_3_7_2_5_1400398942381_1952 \
style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); \
FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1827><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1838 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1847 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1856 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1865 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1874 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1883 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>component.type \
= 'indicator', <SPAN id=yiv1984092909yui_3_7_2_5_1400398942381_365 \
class=yiv1984092909tab> </SPAN># one of c('indicator', \
'signal', 'order', 'enter', 'exit', 'chain') --- have tried all of \
these!</SPAN></DIV> <DIV id=yiv1984092909yui_3_7_2_5_1400398942381_2013 \
style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); \
FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1950><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1961 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1968 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1977 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1984 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1991 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_1998 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>component.label \
= 'timespan',</SPAN></DIV> <DIV id=yiv1984092909yui_3_7_2_5_1400398942381_2144 \
style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); \
FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2011><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2022 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2031 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2040 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2049 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2058 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2069 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>variable \
= list(n = .timespans),</SPAN></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_2143 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2142><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2153 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2160 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2167 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2174 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2181 \
class=yiv1984092909tab> <SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2188 \
class=yiv1984092909tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>label \
= 'TIMESPAN')<BR></DIV></SPAN> <DIV id=yiv1984092909yui_3_7_2_5_1400398942381_336 \
style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); \
FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2191></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_113 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_110 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_2377 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2359>However, the tradestats remain \
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_515 style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2543><SPAN \
id=yiv1984092909yui_3_7_2_11_1400398942381_45 class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_884 class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_783><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_820 class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_857 \
class=yiv1984092909tab></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN> </DIV>
<DIV style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: \
rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2850><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
class=yiv1984092909tab><SPAN><SPAN class=yiv1984092909tab><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_2380 \
class=yiv1984092909tab></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN> </DIV>
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_883><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_51>Amarjit</SPAN></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_348 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_52></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_344 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><SPAN \
id=yiv1984092909yui_3_7_2_5_1400398942381_53></SPAN> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_7_1400398942381_78 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_11_1400398942381_79 style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> <VAR id=yiv1984092909yui-ie-cursor></VAR></DIV> \
<DIV id=yiv1984092909yui_3_7_2_5_1400398942381_343 style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"><BR id=yiv1984092909yui_3_7_2_5_1400398942381_45> \
<BLOCKQUOTE id=yiv1984092909yui_3_7_2_5_1400398942381_46 style="PADDING-LEFT: 5px; \
MARGIN-LEFT: 5px; BORDER-LEFT: rgb(16,16,255) 2px solid; MARGIN-TOP: 5px"> <DIV \
style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif"> <DIV \
style="FONT-SIZE: 12pt; FONT-FAMILY: times new roman, new york, times, serif"> <DIV \
id=yiv1984092909yui_3_7_2_5_1400398942381_54 dir=ltr>----- Forwarded Message \
-----<BR><FONT id=yiv1984092909yui_3_7_2_11_1400398942381_78 size=2 \
face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial \
<a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: \
bold">To:</SPAN></B> ""ilya.kipnis@gmail.com"" <ilya.kipnis@gmail.com>; \
""r-sig-finance@r-project.org"" <r-sig-finance@r-project.org> <BR><B><SPAN \
style="FONT-WEIGHT: bold">Sent:</SPAN></B> Friday, 16 May 2014, 13:50<BR><B><SPAN \
style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] Fw: stochastic \
oscillator OBOS - intraday data & optimization TIMEFILTER & \
TIMESPANS<BR></FONT></DIV> <DIV class=yiv1984092909y_msg_container><BR>
<DIV id=yiv1984092909>
<DIV>
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
BACKGROUND-COLOR: #fff"> <DIV><SPAN><BR class=yiv1984092909yui-cursor></SPAN></DIV>
<DIV style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: \
rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent">Opps, forgot the \
.RData strategy file for the TIMESPAN program.</DIV> <DIV style="FONT-SIZE: 13px; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent"> </DIV> <DIV style="FONT-SIZE: 13px; FONT-FAMILY: \
arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; \
BACKGROUND-COLOR: transparent">Amarjit<VAR id=yiv1984092909yui-ie-cursor></VAR></DIV> \
<DIV> </DIV> <DIV> </DIV>
<DIV> </DIV>
<BLOCKQUOTE style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: rgb(16,16,255) \
2px solid; MARGIN-TOP: 5px"> <DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, \
helvetica, sans-serif"> <DIV style="FONT-SIZE: 12pt; FONT-FAMILY: times new roman, \
new york, times, serif"> <DIV dir=ltr>----- Forwarded Message -----<BR><FONT size=2 \
face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial \
<a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: \
bold">To:</SPAN></B> "ilya.kipnis@gmail.com" <ilya.kipnis@gmail.com>; \
"r-sig-finance@r-project.org" <r-sig-finance@r-project.org> <BR><B><SPAN \
style="FONT-WEIGHT: bold">Sent:</SPAN></B> Friday, 16 May 2014, 12:53<BR><B><SPAN \
style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] stochastic oscillator \
OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<BR></FONT></DIV> \
<DIV class=yiv1984092909y_msg_container><BR> <DIV id=yiv1984092909>
<DIV>
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
BACKGROUND-COLOR: #fff"> <DIV id=yiv1984092909>
<DIV>
<DIV style="FONT-SIZE: 10pt; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; \
BACKGROUND-COLOR: #fff"> <DIV id=yiv1984092909>
<DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1639>
<DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1638 style="FONT-SIZE: 10pt; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909> <DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1637>
<DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1636 style="FONT-SIZE: 10pt; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909> <DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1635>
<DIV id=yiv1984092909yui_3_7_2_5_1400239663057_1634 style="FONT-SIZE: 10pt; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909> <DIV id=yiv1984092909yui_3_7_2_6_1400225147213_379>
<DIV id=yiv1984092909yui_3_7_2_6_1400225147213_378 style="FONT-SIZE: 10pt; \
FONT-FAMILY: arial, helvetica, sans-serif; COLOR: #000; BACKGROUND-COLOR: #fff"> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_35> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_45>Hi Ilya,</DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_46> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_77> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_78>Have returned with our stochastic \
oscillator OBOS strategy.</DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_413> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_416>Where we were last time was optimizing \
nSlowD & the OBOS thresholds. I will guess that everything was \
correct there, inequalities etc, if not let me know! Therefore I'll carry-on with \
including a timefilter to our strategy and optimizing timespans (various \
timefilters). As this is for demo and given only a few days of intraday data the \
values for nSlowD and OBOS thresholds can remain at 5, 80, & 20, respectively \
(ordinarily this'll be on the optimized values). I have \
also uncommented the short-side as we have an fx rate GBPUSD, not a \
stock.</DIV> <DIV id=yiv1984092909yui_3_7_2_5_1400225147213_1024> </DIV>
<DIV id=yiv1984092909yui_3_7_2_6_1400225147213_377> </DIV>
<DIV id=yiv1984092909yui_3_7_2_6_1400225147213_887>Attached:</DIV>
<DIV id=yiv1984092909yui_3_7_2_5_1400225147213_1064>(1) Vanilla + inclusion \
of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. This appears to be filtering \
correctly.</DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_2693>(2) Various timefilters \
i.e. timespans for optimization. Although the program runs, it does not appear \
to be optimizing. I am having problems with add.distribution and apply.paramset \
functions. Please help!</DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_422> <VAR \
id=yiv1984092909yui-ie-cursor></VAR></DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_430> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_433> </DIV> <DIV \
id=yiv1984092909yui_3_7_2_5_1400225147213_436>Amarjit <VAR \
id=yiv1984092909yui-ie-cursor></VAR></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></ \
DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV><BR>_______________________________________________<BR><A \
href="mailto:R-SIG-Finance@r-project.org" rel=nofollow target=_blank \
ymailto="mailto:R-SIG-Finance@r-project.org">R-SIG-Finance@r-project.org</A> mailing \
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Subscriber-posting only. If you want to post, subscribe first.<BR>-- Also note that \
this is not the r-help list where general R questions should \
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--1887365311-840096450-1400403580=:63886--
["ac_stochOSC_OBOS_GBPUSD_vanilla_TIMEFILTER.R" (application/octet-stream)]
["ac_stochOSC_OBOS_GBPUSD_vanilla_TIMESPAN.R" (application/octet-stream)]
["GBPUSDstoch.RData" (application/x-gzip-compressed)]
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