[R-SIG-Finance] Parameters setting for multiple indicators with the same argument names

[Brian G. Peterson]

On Tue, 2011-09-06 at 15:40 +0200, igor_vilcek_external at tatrabanka.sk
wrote:
> Hi, 
> 
> I've encountered a problem in external parameters setting, in case I want 
> to set parameters for more indicators which posses same argument names 
> (e.g. setting length of multiple different Moving Averages - same name 
> parameter 'n').
> 
> I can demonstrate this issue using quantstrat demo maCross (strategy uses 
> "short" and "long" moving average, and my aim is to set length of both 
> averages through 'parameters' argument in applyStrategy):
<...>

> Using this input, strategy uses only "50day" Moving Average, for both MA50 
> and MA200 in 'mktdata'.
> 
> Is there any way how to implement length of both different moving averages 
> (or other indicators e.g. ROC, BBands,... with same arguments) into 
> 'parameters'?

You have two options, a simple one, and a more complex one.

The simple one is for you to generate a brute force set of parameters
and loop over them, setting them as variables in  your strategy using
quote().  see ?expand.grid

Or, more flexible but also more complicated, see the two parameterTest
demos in the quantstrat package.  You can tell the parameter subsystem
which slots (indicators) you are applying parameters to, and apply a
different distribution to each.

Regards,

  - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock