quantstrat (version 0.14.6)

chart.forward: Chart to analyse walk.forward() objective function

Description

The walk.forward function creates an audit environment, potentially written out as a results file, which contains the out of sample results of the (chosen) parameter set. This function parses that file or environment and generates a chart to compare the performance of all parameter sets against the optimal one.

Usage

chart.forward(audit.filename, portfolio.st = NULL)

Arguments

audit.filename

name of .audit environment file as produced by walk.forward Filename will often match pattern [audit.prefix].results.RData. Alternately, an audit environment provided by the output of walk.forward

portfolio.st

string defining which portfolio should be used for out of sample, default NULL

Details

chart.forward.training uses the audit environment for a single in-sample training period to draw a chart for that in-sample data.

Note that parameter audit filename may also be an audit environment which is already loaded in R, for ease of development and debugging. Little checking is done to ensure the correct structure of this environment, so passing an unsuitable environment (such as the .blotter environment) will result in errors.

See Also

walk.forward, chart.forward.training