lazytrade (version 0.5.4)

check_if_optimize: Function check_if_optimize.

Description

Purpose of this function is to verify trading system functionality by analysing profit factor on the last trades. Whenever trading robot has profit factor value below certain limit function will write a file log indicating which trading systems need to be maintained.

Learn by example how to manipulate data

Usage

check_if_optimize(
  x,
  system_list,
  path_data,
  num_trades_to_consider = 3,
  profit_factor_limit = 0.7,
  write_mode = FALSE
)

Value

function returns a dataframe with systems that should be optimized

Arguments

x

• dataframe containing trading results

system_list

• dataframe containing a table with magic numbers used by robots. Stored in file Setup.csv

path_data

• string, path to the folder where optimization file should be written

num_trades_to_consider

• Number of trades to calculate profit factor

profit_factor_limit

• Limit below which trading robot is considered not working properly

write_mode

• When true function will write result to the file located in the temporary directory

Author

(C) 2019,2021 Vladimir Zhbanko

Details

Whenever there will be not enough trades then empty file will be written to the destination

Examples

library(lazytrade)
library(magrittr)
library(dplyr)
library(readr)
library(lubridate)

path_data <- normalizePath(tempdir(),winslash = "/")

file.copy(from = system.file("extdata", "Setup.csv", package = "lazytrade"),
          to = file.path(path_data, "Setup.csv"), overwrite = TRUE)

system_list <- read_csv(file.path(path_data, "Setup.csv"))

data(profit_factorDF)


# without writing to the file
check_if_optimize(x = profit_factorDF,
                  system_list = system_list,
                  path_data,
                  num_trades_to_consider = 3,
                  profit_factor_limit = 0.8,
                  write_mode = TRUE)