apply.paramset() No transactions returned for param.combo 1 out of 4

[maxsach]

After i tried everything to make the optimization work with TTR:KST() I still couldnt figuere it out. So I created a function for KST myself with multiple n variables. It works just like the TTR::KST() when I just run the strategy but if I try to optimize it via apply.paramset it tells me:

[1] "No transactions returned for param.combo 1 out of 4"
[1] "No transactions returned for param.combo 2 out of 4"
[1] "No transactions returned for param.combo 3 out of 4"
[1] "No transactions returned for param.combo 4 out of 4"

It feels like it is just not meant to be

Any help will be appreciated.

my KST function:

kst_noob<-function (price, 
                    n1=10,
                    n2=10,
                    n3=10,
                    n4=15, 
                    nROC1=10,
                    nROC2=15,
                    nROC3=20,
                    nROC4=30, 
                    nSig = 9, 
                    wts = 1:4) 
{
  roc1<-ROC(price,nROC1 )
  roc2<-ROC(price,nROC2 )
  roc3<-ROC(price,nROC3 )
  roc4<-ROC(price,nROC4 )
  sma1<-SMA(roc1,n1)
  sma2<-SMA(roc2,n2)
  sma3<-SMA(roc3,n3)
  sma4<-SMA(roc4,n4)
  kst_line<-sma1*1+sma2*2+sma3*3+sma4*4
  signal<-SMA(kst_line,nSig)
  result <- cbind(kst_line, signal)*100
  colnames(result) <- c("kstt", "signall")
  as.matrix.data.frame(return(result))
}

my main strategy code:

library(quantstrat)
library(dplyr)
#library(data.table)
library(DT)
library(ggplot2)
library(htmltools)
library(htmlwidgets)
library(knitr)
library(lattice)
library(pander)
#kernvariablen
init_date<-"2009-12-31"
start_date<-"2010-01-01"
end_date<-"2017-12-31"
initEq<-10000
currency("USD")
adjustment<-TRUE
currency("USD")
Sys.setenv(TZ = "UTC")
basic_symbols<-function(){
  symbols<-c(
    #"FUTY",
    "XLY"#,
    # "VAW",
    #"PTH"
  )
}

portfolio.st<-"Port.KST"
account.st<-"Acct.KST"
strategy.st<-"Strat.KST"
#symbols<-c("XLY")
symbols<-basic_symbols()
getSymbols(Symbols = symbols,
           from= start_date,
           to= end_date,
           index.class="POSIXct")
stock(symbols,
      currency = "USD",
      multiplier = 1)
rm.strat(portfolio.st)
rm.strat(account.st)
rm.strat(strategy.st)
initPortf(name = portfolio.st,
          symbols = symbols,
          initDate = init_date)
initAcct(name = account.st,
         portfolios = portfolio.st,
         initDate = init_date,
         initEq = initEq)
initOrders(portfolio = portfolio.st,
           symbols = symbols,
           initDate = init_date)
strategy(strategy.st,
         store = TRUE)
a<-c(1,2,3,4)
i=nrow(n)
m=as.matrix(c(1,2,3,4))
m[1,]
#add.indicator(strategy = strategy.st, 
 #             name = "KST", 
  #            arguments = list(price = quote(Cl(mktdata)),
   #                            n=c(11,20,15,12),
    #                          
     #                          #n=as.matrix(c(10,10,10,15)),
      #                       #n=c(10,10,10,15),
       #                       wts=1:4),
        #    label = "kst")
add.indicator(strategy = strategy.st,
             name = "kst_noob",
              arguments = list(price = quote(Cl(mktdata)),
                               n1=15,
                               n2=13,
                              n3=11,
                               n4=14, 
                                nROC1=10,
                              nROC2=15,
                              nROC3=20,
                               nROC4=30, 
                               nSig = 9),
              label = "kstnoobb")
add.signal(strategy =strategy.st,
           name = "sigCrossover",
           arguments = list(
             columns =c("signall.kstnoobb","kstt.kstnoobb"),
             relationship="gte"),
           label = "long")
add.signal(strategy.st,
           name = "sigCrossover",
           arguments = list(columns =c("signall.kstnoobb","kstt.kstnoobb"),
                            relationship="lte"),
           label = "short")
add.rule(strategy = strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol="long",
                          sigval=TRUE,
                          orderqty=100,
                          ordertype="stoplimit",
                          orderside="long",
                          threshold=0.0005,
                          prefer="High",
                          TxmFees=-10,
                          replace=FALSE),
         type = "enter",
         label = "EnterLONG")
add.rule(strategy = strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol="short",
                          sigval=TRUE,
                          orderqty=-100,
                          ordertype="stoplimit",
                          orderside="short",
                          threshold=-0.005,
                          prefer="Low",
                          TxmFees=-10,
                          replace=FALSE),
         type = "enter",
         label = "EnterLONG")
KST(Cl(XLY))
add.rule(strategy = strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol="short",
                          sigval=TRUE,
                          orderside="short",
                          ordertype="market",
                          orderqty="all",
                          TynFees=-10,
                          replace=TRUE),
         type = "exit",
         label = "Exit2SHORT")
add.rule(strategy = strategy.st,
         name = "ruleSignal",
         arguments = list(sigcol="long",
                          sigval=TRUE,
                          orderside="short",
                          ordertype="market",
                          orderqty="all",
                          TynFees=-10,
                          replace=TRUE),
         type = "exit",
         label = "Exit2LONG")
checkBlotterUpdate <- function(port.st = portfolio.st, 
                               account.st = account.st, 
                               verbose = TRUE) {
  
  ok <- TRUE
  p <- getPortfolio(port.st)
  a <- getAccount(account.st)
  syms <- names(p$symbols)
  port.tot <- sum(
    sapply(
      syms, 
      FUN = function(x) eval(
        parse(
          text = paste("sum(p$symbols", 
                       x, 
                       "posPL.USD$Net.Trading.PL)", 
                       sep = "$")))))
  
  port.sum.tot <- sum(p$summary$Net.Trading.PL)
  
  if(!isTRUE(all.equal(port.tot, port.sum.tot))) {
    ok <- FALSE
    if(verbose) print("portfolio P&L doesn't match sum of symbols P&L")
  }
  
  initEq <- as.numeric(first(a$summary$End.Eq))
  endEq <- as.numeric(last(a$summary$End.Eq))
  
  if(!isTRUE(all.equal(port.tot, endEq - initEq)) ) {
    ok <- FALSE
    if(verbose) print("portfolio P&L doesn't match account P&L")
  }
  
  if(sum(duplicated(index(p$summary)))) {
    ok <- FALSE
    if(verbose)print("duplicate timestamps in portfolio summary")
    
  }
  
  if(sum(duplicated(index(a$summary)))) {
    ok <- FALSE
    if(verbose) print("duplicate timestamps in account summary")
  }
  return(ok)
}
cwd <- getwd()
results_file <- paste("results", strategy.st, "RData", sep = ".")
if( file.exists(results_file) ) {
  load(results_file)
} else {
  results <- applyStrategy(strategy.st, portfolios = portfolio.st)
  updatePortf(portfolio.st)
  updateAcct(account.st)
  updateEndEq(account.st)
  if(checkBlotterUpdate(portfolio.st, account.st, verbose = TRUE)) {
    save(list = "results", file = results_file)
    save.strategy(strategy.st)
  }
}
setwd(cwd)
applyStrategy(strategy.st, portfolios = portfolio.st)
updatePortf(portfolio.st)
updateAcct(account.st)
updateEndEq(account.st)
tstats <- tradeStats(portfolio.st)
kable(t(tstats))
chart.Posn(portfolio.st)

And my optimization code:

.kstDistr2 <- matrix(runif(16,10,16),4,4)%>%round()
library(parallel)
if( Sys.info()['sysname'] == "Windows") {
  library(doParallel)
  registerDoParallel(cores=detectCores())
} else {
  library(doMC)
  registerDoMC(cores=detectCores())
}
#Add Distribution
nn1<-c(10:20)
nn2<-10:15
nn3<-10:15
nn4<-10:15

#delete.paramset(strategy.st,"KST6")
add.distribution(strategy.st,
                 paramset.label = "KST6",
                 component.type = "indicator",
                 component.label = "kstnoobb",
                 variable = list(n1 = .kstDistr2),
                 label = ".n1")





library(parallel)

if( Sys.info()['sysname'] == "Windows") {
  library(doParallel)
  registerDoParallel(cores=detectCores())
} else {
  library(doMC)
  registerDoMC(cores=detectCores())
}



set.seed(20201312)
.nsamples <-4
rm(results)
results <- apply.paramset(strategy.st,
                          paramset.label = "KST6",
                          portfolio.st = portfolio.st,
                          account.st = account.st,
                          #nsamples = .nsamples,
                          paramsets = .kstDistr2,
                          verbose = TRUE)
closeAllConnections()

unregister_dopar()

[jaymon0703]

Hi @maxsach i am not exactly sure why (and i dont have the time right now to take much more of a closer look) but i get results when running your code with registerDoSEQ().