我尝试使用quantstrat运行并优化一个非常简单的系统。我的策略是:在Close > SMA
时输入,在Close < SMA
时退出。我正在运行2010-01-01至2014-01-01的每日数据。优化为.nSMA = (10:20)
。我的系统是i5 m480 2.67Ghz,8gb,Win7-64,Revolution R Open 3.2.0,RStudio。
执行我的代码大约需要50秒。对于quantstrat来说这是正常的吗?或者我犯了错误?
require(quantstrat)
require(foreach)
registerDoSEQ()
rm(list = ls(.blotter), envir = .blotter)
currency('USD')
initDate = "2010-01-01"
from = "2010-01-01"
to = "2014-01-01"
initEq = 1e5
nSMA = 50
getSymbols("GOOG", from = from, to = to)
stock("GOOG", currency = "USD", tick_size = 1, multiplier = 1)
getInstrument("GOOG", type = "instrument")
strategy.st <- "first"
portfolio.st <- "first"
account.st <- "first"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = 'GOOG', initDate = initDate, currency = 'USD')
initAcct(account.st, portfolios = portfolio.st, initDate = initDate, currency = 'USD', initEq = initEq)
initOrders(portfolio.st, initDate = initDate)
strategy(strategy.st, store=TRUE)
### indicators
add.indicator(strategy.st, name = "SMA",
arguments = list(x = quote(Cl(mktdata)), n = nSMA),
label = "nSMA")
### signals
add.signal(strategy.st, name='sigCrossover',
arguments = list(columns=c("Close","nSMA"),
relationship="gt"),
label='LE'
)
add.signal(strategy.st, name='sigCrossover',
arguments = list(columns=c("Close","nSMA"),
relationship="lt"),
label='LX'
)
### rules
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="LE" , sigval=TRUE,
orderside="long",
ordertype="market",
prefer="Open",
orderqty=1,
replace=FALSE
),
type="enter",
label="EnterLong"
)
add.rule(strategy.st, name="ruleSignal",
arguments=list(sigcol="LX" , sigval=TRUE,
orderside="long",
ordertype="market",
prefer="Open",
orderqty="all",
replace=FALSE
),
type="exit",
label="ExitLong"
)
applyStrategy(strategy.st, portfolio.st)
save.strategy(strategy.st)
# Optimization
.nSMA = (10:20)
load.strategy(strategy.st)
add.distribution(strategy.st,
paramset.label = 'nSMA',
component.type = 'indicator',
component.label = 'nSMA',
variable = list(n = .nSMA), label = 'NSMA')
results <- apply.paramset(strategy.st,
paramset.label='nSMA',
portfolio.st=portfolio.st,
account.st=account.st,
nsamples = length(.nSMA),
audit = NULL,
verbose=TRUE)
View((results$tradeStats))
plot(results$tradeStats$NSMA, results$tradeStats$Net.Trading.PL, type = "l")
答案 0 :(得分:1)
我的笔记本电脑上的apply.paramset
通话只需大约15秒(i7-4600U 2.1Ghz,12GB RAM)。这是我的sessionInfo
输出:
R> sessionInfo()
R version 3.3.1 (2016-06-21)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 16.04.1 LTS
locale:
[1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
[3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
[5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
[7] LC_PAPER=en_US.UTF-8 LC_NAME=C
[9] LC_ADDRESS=C LC_TELEPHONE=C
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] quantstrat_0.9.1739 foreach_1.4.2
[3] blotter_0.9.1695 PerformanceAnalytics_1.4.3541
[5] FinancialInstrument_1.2.0 quantmod_0.4-5
[7] TTR_0.23-1 xts_0.9-7
[9] zoo_1.7-13
loaded via a namespace (and not attached):
[1] compiler_3.3.1 codetools_0.2-14 grid_3.3.1 iterators_1.0.7
[5] lattice_0.20-33
所以看起来你的机器上需要太长时间。您的计算机上是否运行了其他应用程序,这些应用程序在运行此代码的同时消耗了大量CPU和/或RAM?还要确保你从GitHub运行最新版本的quantstrat,blotter和xts。