Parameter demo for MACD
require(foreach,quietly=TRUE) require(iterators) require(quantstrat)
demo(‘macd’,ask=FALSE)
example parallel initialization for doParallel. this or doMC, or doRedis are
most probably preferable to doSMP
#require(doParallel) #registerDoParallel() # by default number of physical cores -1
#please run macd demo before all these…
#retrieve the strategy from the environment, since the ‘macd’ strategy uses store=TRUE strategy.st <- ‘macd’
Set up Parameter Values
.FastMA = (1:20) .SlowMA = (30:80) .nsamples = 30 #for random parameter sampling, less important if you’re using doParallel or doMC
MA paramset
add.distribution(strategy.st, paramset.label = ‘MA’, component.type = ‘indicator’, component.label = ’_‘, #this is the label given to the indicator in the strat variable = list(n = .FastMA), label = ’nFAST’ )
add.distribution(strategy.st, paramset.label = ‘MA’, component.type = ‘indicator’, component.label = ’_‘, #this is the label given to the indicator in the strat variable = list(n = .SlowMA), label = ’nSLOW’ )
add.distribution.constraint(strategy.st, paramset.label = ‘MA’, distribution.label.1 = ‘nFAST’, distribution.label.2 = ‘nSLOW’, operator = ‘<’, label = ‘MA’ )
.audit <- new.env()
results <- apply.paramset(strategy.st, paramset.label=‘MA’, portfolio.st=portfolio.st, account.st=account.st, nsamples=.nsamples, audit=.audit, store=TRUE, verbose=TRUE)
df <- degrees.of.freedom(‘macd’,‘macd’)
tstats <- results$tradeStats
defSR <- SharpeRatio.deflated(‘macd’,strategy=‘macd’,audit=.audit)
hcSR <- SharpeRatio.haircut(‘macd’,strategy=‘macd’,audit=.audit)
print(tstats)
print(df)
print(defSR)
print(hcSR)