On Fri, Sep 5, 2014 at 1:21 PM, amarjit chandhial <[email protected]> wrote: > > > I am trying to get "luxor.4, luxor timespan paramset optimization" running. > > In order to to do this: > > (a) I run luxor.1, including timespan=.timespan in the 4 rules. > > luxor.1 uses an include file which has > > .timespans <- c('T06:00/T10:00', 'T07:00/T11:00', 'T08:00/T12:00', > 'T09:00/T13:00', 'T10:00/T14:00', 'T11:00/T15:00', 'T12:00/T16:00') > > & > > I have .timespan = 'T06:00/T10:00' > > I then save strategy. > > > > (b) I run luxor.2 paramsets and save strategy. > > > > (c) I run luxor.4, the optimization, whereby I get the following > results$tradeStats for the various .timespans: > <snip> > > > > Well, no, as you can see I get *the same* results for the various times in > .timespans. > > These are the same tradeStats results for the vanilla luxor.1 strategy > having put .timespan = 'T06:00/T10:00' in the 4 rules, > > So luxor.4 is trying to do an optimization but doesn't get past the > .timespan value, to do the .timespans. That is so because if I follow the > procedure for a different .timespan including a .timepsan=NULL, the > script[s] will do the 'optimization' for that .timespan only, giving the > same tradeStats repeated and not do for the remaining times. > > > > > Advice/solution appreciated. > I spent some time this morning looking at this specific example and I don't think the luxor.4 timespan paramset ever worked (at least I can't see how it ever worked). Unfortunately, I also do not see a quick/easy way to make it work.
> > > > As said what I am, and probably lots of others reading this are after is: > > A workflow giving > (1) simple vanilla stratgey (an MA or oscillator) > (2) In-sample optimization of parameter(s) of simple strategy, Out-of-sample > run > (3) periodic optimization & walk-forward procedure > with the right results. > > > > > Amarjit > Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com _______________________________________________ [email protected] 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.
