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Fix: Restores .audit Saving to Original Spot
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Makes walk.forward() more verbose so it's even easier to understand what
it does from the logs. Adds some temporary code I use for debugging the
user.func. Restores the .audit saving code to its original correct spot
+ the comment on what it actually saves.
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@cloudcell
cloudcell committed Feb 8, 2016
1 parent b95213d commit 4ad93f8
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Showing 2 changed files with 52 additions and 33 deletions.
68 changes: 38 additions & 30 deletions R/walk.forward.R
View file
Original file line number Diff line number Diff line change
Expand Up @@ -110,7 +110,7 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,

result$training.timespan <- training.timespan

# TODO: make a utility function that prints a message inside
# TODO: make a utility function that prints text in a frame
# Such output format stands out in large logs
print("+-------------------------------------------------------------------+")
print("| Phase 1.1: Training |")
Expand All @@ -129,6 +129,9 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,

tradeStats.list <- result$apply.paramset$tradeStats

print(class(tradeStats.list))
View(t(tradeStats.list))

if(!missing(k.testing) && k.testing>0)
{
if(!is.function(obj.func))
Expand All @@ -140,8 +143,15 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,

# select best param.combo (produces a selection vector)
param.combo.idx <- do.call(obj.func, obj.args)
if(length(param.combo.idx) == 0)
if(length(param.combo.idx) == 0) {
# One of the reasons of faulures can be a failure of the
# user.func() which runs prior to obj.func() in the
# apply.paramset(). So when user.func fails, obj.func
# never gets a chance to run. Hence, empty result.
# Make sure user.func runs without producing errors
# (handle errors inside the user.func).
stop('obj.func() returned empty result')
}

# print("the best param combo selection vector:")
# print(param.combo.idx)
Expand Down Expand Up @@ -171,15 +181,6 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
assign('param.combo.idx', param.combo.idx, envir=.audit)
assign('param.combo.nr', param.combo.nr, envir=.audit)
assign('param.combo', param.combo, envir=.audit)

# index() produces spaces b/n date & time and colons (":"),
# which may cause errors, so they need a substitute (e.g. "-")
save(.audit, file=paste(audit.prefix, symbol.st,
gsub("[\\ :]","-",index(symbol[training.start])),
gsub("[\\ :]","-",index(symbol[training.end])),
'RData', sep='.'))

.audit <- NULL
}

print("+-------------------------------------------------------------------+")
Expand All @@ -188,7 +189,8 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
# configure strategy to use selected param.combo
# TODO: make an error check in 'install.param.combo' for
# 'multiple combos' to prevent warnings and side effects of
# using a combo whose values are multidimensional vectors
# using a combo whose values are multidimensional vectors.
# TTR package functions may fail when such inputs are used
print("param combo being installed:")
print(param.combo)
strategy <- install.param.combo(strategy, param.combo, paramset.label)
Expand All @@ -209,22 +211,25 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
k <- k + 1
}

# if(!is.null(.audit))
# {
# # Moving this part closer to the place where .audit data is formed
# # it would be much easier to read the code instead of jumping back
# # and forth b/n training and testing pieces of the code
#
# # index() produces spaces b/n date & time and colons (":"),
# # which may cause errors, so they need a substitute (e.g. "-")
# save(.audit, file=paste(audit.prefix, symbol.st,
# gsub("[\\s:]*","-",index(symbol[training.start])),
# gsub("[\\s:]*","-",index(symbol[training.end])),
# 'RData', sep='.'))
#
# .audit <- NULL
# }
print("+-------------------------------------------------------------------+")
print("| Phase 3: Accumulating training and testing results |")
print("| and optionally saving training '.audit' data |")
print("+-------------------------------------------------------------------+")

# optionally saving training data (both from training & obj.func)
if(!is.null(.audit))
{
# index() produces spaces b/n date & time and colons (":"),
# which may cause errors, so they need a substitute (e.g. "-")
save(.audit, file=paste(audit.prefix, symbol.st,
gsub("[\\ :]","-",index(symbol[training.start])),
gsub("[\\ :]","-",index(symbol[training.end])),
'RData', sep='.'))

.audit <- NULL
}

# accumulating training and testing results
results[[k]] <- result

k <- k + k.testing
Expand All @@ -238,7 +243,7 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
if(!is.null(audit.prefix))
{
print("+-------------------------------------------------------------------+")
print("| Phase 3.1: Preparing audit data for saving |")
print("| Phase 4.1: Preparing audit data for saving |")
print("+-------------------------------------------------------------------+")
.audit <- new.env()

Expand All @@ -255,7 +260,7 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
if(include.insamples)
{
print("+-------------------------------------------------------------------+")
print("| Phase 3.2: Running backtests on in-sample reference portfolios |")
print("| Phase 4.1.1: Including backtests on in-sample reference portfolios|")
print("+-------------------------------------------------------------------+")
# run backtests on in-sample reference portfolios
result$apply.paramset <- apply.paramset(strategy.st=strategy.st, paramset.label=paramset.label,
Expand All @@ -265,7 +270,10 @@ walk.forward <- function(strategy.st, paramset.label, portfolio.st, account.st,
calc='slave', audit=.audit, verbose=verbose, ...=...)
}

# audit prefix must not contains spaces
print("+-------------------------------------------------------------------+")
print("| Phase 4.2: Saving audit data |")
print("+-------------------------------------------------------------------+")
# audit prefix must comply with OS file naming restrictions
save(.audit, file=paste(audit.prefix, 'results', 'RData', sep='.'))

.audit <- NULL
Expand Down
17 changes: 14 additions & 3 deletions demo/luxor.8.walk.forward.R
View file
Original file line number Diff line number Diff line change
Expand Up @@ -64,10 +64,21 @@ ess <- function(account.st, portfolio.st)
require(robustbase, quietly=TRUE)
require(PerformanceAnalytics, quietly=TRUE)

portfolios.st <- ls(pos=.blotter, pattern=paste('portfolio', portfolio.st, '[0-9]*',sep='.'))
pr <- PortfReturns(Account = account.st, Portfolios=portfolios.st)
try(
portfolios.st <- ls(pos=.blotter, pattern=paste('portfolio', portfolio.st, '[0-9]*',sep='.'))
)

my.es <- ES(R=pr, clean='boudt')
try(
pr <- PortfReturns(Account = account.st, Portfolios=portfolios.st)
)

try(
my.es <- ES(R=pr, clean='boudt')
)

if(inherits(my.es,what = "try-error")) {
my.es <- NA
}

return(my.es)
}
Expand Down

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