Jasen Mackie
Jasen Mackie
I for one am happy to see interest in the package, and willingness from the community to add to documentation is always encouraged, especially from the experience of someone newer...
Correct. Try `debugonce(applyStrategy)` before calling `applyStrategy` amd step through the guts of the logic. Apply indicators is here - https://github.com/braverock/quantstrat/blob/6c536dbe97d0efb622c853d8d9445f9b2933b040/R/strategy.R#L162 Apply signals is here - https://github.com/braverock/quantstrat/blob/6c536dbe97d0efb622c853d8d9445f9b2933b040/R/strategy.R#L170 And depending on whether...
Hi @QuantDevHacks. So whats happening here, is reshape2::recast calls dcast() which calls cast(), both of which have `fun.aggregate=NULL` for the default argument value. When there is any duplicate in the...
Ok tested my change locally...this is the output...  Would you mind testing @QuantDevHacks? The code to install the version with the last commit is `install_github("braverock/quantstrat", ref = "1e8dbbf")`. The...
Apologies...i am too quick to type today...i think the optimal solution here is to not use recast() as we do not want any aggregating...this will require a bit more work...
In the spirit of typing too fast, i think we do need to aggregate where there are duplicate column combinations...for example there are multiple observations in which macd.fast and macd.sig...
Ok @QuantDevHacks i have updated the default to use the `mean` as the aggregation function. This is necessary for scenarios in which the param search covers more than 2 params....
Re-opening this as i am getting dubious results for Luxor as well, and we have identified issues with WFA when running for other non-demo portfolios. Depending on progress for those...
There is likely regression, although macdWFA runs to completion it still has a test portfolio that is polluted with training window transactions. @braverock is working on making the test portfolio...
hi @ssh352 i am able to get results for all the luxor demos (incl the luxor.6 scripts) on version 0.15.6 except for the last one luxor.8.walk.forward which returns no results...