Mark,
Thank you for the reply. I really appreciate you taking the time to look at
it. However in my previous email/post and my current code I do not see a
line that shows
portfolio1.st <- 'pair1'account.st <- 'pairs'
they should be two separate lines. Either way I have run the entire code
and will show the area I am focusing on. Which is the end using the
walk.forward() function, as everything else in the code runs perfectly for
me using R 3.1.1 in windows or ubuntu.
Code I am focusing on:
# Objective Function
my.obj.func <- function(x)
{
# pick one of the following objective functions (uncomment)
#return(max(x$tradeStats$Max.Drawdown) == x$tradeStats$Max.Drawdown)
return(max(x$tradeStats$Net.Trading.PL) == x$tradeStats$Net.Trading.PL)
}
#WFA
require(doParallel)
cl <- makePSOCKcluster(2)
registerDoParallel(cl)
result <- walk.forward(pairStrat,
paramset.label = "BBOPT",
portfolio.st = portfolio1.st,
account.st = account.st,
period = "months",
k.training = 6,
k.testing = 3,
obj.func = my.obj.func,
obj.args = list(x=quote(result$apply.paramset)),
audit.prefix = "wfa",
anchored = FALSE,
verbose = TRUE)
Output below:
# Objective Function
my.obj.func <- function(x)
+ {
+ # pick one of the following objective functions (uncomment)
+
+ #return(max(x$tradeStats$Max.Drawdown) == x$tradeStats$Max.Drawdown)
+
+ return(max(x$tradeStats$Net.Trading.PL) == x$tradeStats$Net.Trading.PL)
+
+ }
#WFA
require(doParallel)
cl <- makePSOCKcluster(2)
registerDoParallel(cl)
result <- walk.forward(pairStrat,
+ paramset.label = "BBOPT",
+ portfolio.st = portfolio1.st,
+ account.st = account.st,
+ period = "months",
+ k.training = 6,
+ k.testing = 3,
+ obj.func = my.obj.func,
+ obj.args = list(x=quote(result$apply.paramset)),
+ audit.prefix = "wfa",
+ anchored = FALSE,
+ verbose = TRUE)
[1] "=== training BBOPT on 2009-01-02/2009-06-30"
automatically exporting the following variables from the local environment:
account, account.st, calc, env.instrument, mktdata, orderbook,
paramset.label, portfolio, portfolio.st, strategy, user.args, user.func
explicitly exporting variables(s): clone.portfolio, clone.orderbook,
install.param.combo
numValues: 180, numResults: 0, stopped: TRUE
got results for task 1
numValues: 180, numResults: 1, stopped: TRUE
returning status FALSE
got results for task 2
<SNIP>
got results for task 180
numValues: 180, numResults: 180, stopped: TRUE
first call to combine function
evaluating call object to combine results:
fun(result.1, result.2, result.3, result.4, result.5, result.6,
<SNIP>
result.177, result.178, result.179, result.180)
error calling combine function:
<simpleError in fun(result.1, result.2, result.3, result.4, result.5,
result.6, result.7, result.8, result.9, result.10, result.11,
result.12, result.13, result.14, result.15, result.16, result.17,
result.18, result.19, result.20, result.21, result.22,
<SNIP>
result.171, result.172, result.173, result.174, result.175, result.176,
result.177, result.178, result.179, result.180): attempt to select less
than one element>
Error in walk.forward(pairStrat, paramset.label = "BBOPT", portfolio.st =
portfolio1.st, :
obj.func() returned empty result
In addition: Warning messages:
1: In e$fun(obj, substitute(ex), parent.frame(), e$data) :
already exporting variable(s): env.instrument
2: In max(x$tradeStats$Net.Trading.PL) :
no non-missing arguments to max; returning -Inf
Thanks again
Derek
On Tue, Sep 30, 2014 at 8:20 AM, Mark Knecht <[email protected]> wrote:
On Tue, Sep 30, 2014 at 12:34 AM, Derek Wong <[email protected]> wrote:
Hello,
I have been able to reproduce this error in Ubuntu based system as well
not
just on windows. I was wondering if anyone had any insights or ways to to
solve this or create a work around. If there is any additional
information
you require let me know. Please I would really appreciate help on this.
It
is totally out of my depth and I am hoping that this fine community can
help.
Derek,
I have no time to do any debugging of this but the first error on my
Gentoo system running RStudio and R-3.1.1 is actually this line:
portfolio1.st <- 'pair1'account.st <- 'pairs'
which does look like bad code to me.
One 'problem' with a number of demos that are out there is that the demo
author may be using the development version of a specific package which
then results in end user types (like me) having problems.
I suggest you run this code line-by-line and then post back a few lines
preceding the breakdown. Maybe someone can give better input than
I can. Also, please edit/snip your responses to add focus to the exact
issue.
Good luck,
Mark
On Wed, Sep 24, 2014 at 9:36 PM, Derek Wong <[email protected]>
wrote:
Hello,
I am having a lot of trouble with using walk.forward.in windows. i get
the following error. This may be related to bug #5814. If someone could
please help me i would really appreciate it. The reproducible code
below is
based on the pair_trade example. Thanks.
error calling combine function:
<simpleError in fun(result.1, result.2, result.3, result.4, result.5,
result.6, result.7, result.8, result.9, result.10, result.11,
<SNIP>
result.172, result.173, result.174, result.175, result.176,
result.177,
result.178, result.179, result.180): attempt to select less than one
element>
Error in walk.forward(pairStrat, paramset.label = "BBOPT", portfolio.st
=
[[alternative HTML version deleted]]
_______________________________________________
[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.
