aml_simulation function

Function to simulate multiple input structures

Function is designed to evaluate several different inputs.

aml_simulation(
  timeframe = 60,
  path_sim_input,
  path_sim_result,
  par_simulate1 = 10,
  par_simulate2 = 16,
  demo_mode = FALSE
)

Arguments

• timeframe: Integer, Data timeframe e.g. 60 min. This will be equal to 1 bar
• path_sim_input: String, Path to the folder where csv files will be placed, typically AI_RSIADXAUDCAD60.csv
• path_sim_result: String, Path to the folder where all results from simulations shall be written
• par_simulate1: Integer, Parameter that can be used in simulation
• par_simulate2: Integer, Parameter that can be used in simulation
• demo_mode: Boolean, Simplify function test. When TRUE no simulation will be made

Returns

Function is writing file into Decision Support System folders

Details

Function is using several other functions to perform sets of operations designed to test several inputs. Designed to validate model settings.

Update: New function structure to allow quicker simulation of parameters to find best performing input

Examples

library(dplyr)
library(magrittr)
library(readr)
library(h2o)
library(lazytrade)
library(lubridate)
library(stats)

path_input <- normalizePath(tempdir(),winslash = "/")
path_sim_input <- file.path(path_input, "path_sim_input")
dir.create(path_sim_input)
path_sim_result <- file.path(path_input, "path_sim_result")
dir.create(path_sim_result)

file.copy(from = system.file("extdata", "AI_RSIADXCADCHF60.csv", package = "lazytrade"),
          to = file.path(path_sim_input, "AI_RSIADXCADCHF60.csv"), overwrite = TRUE)
file.copy(from = system.file("extdata", "AI_RSIADXEURNZD60.csv", package = "lazytrade"),
          to = file.path(path_sim_input, "AI_RSIADXEURNZD60.csv"), overwrite = TRUE)

# start h2o engine
h2o.init(nthreads = 2)

# simulation of different epoch values
aml_simulation(timeframe = 60,
               path_sim_input = path_sim_input,
               path_sim_result = path_sim_result,
               par_simulate1 = 10,
               par_simulate2 = 10,
               demo_mode = FALSE)

Sys.sleep(5)
# stop h2o engine
h2o.shutdown(prompt = FALSE)

#set delay to insure h2o unit closes properly before the next test
Sys.sleep(5)

Author(s)

(C) 2021 Vladimir Zhbanko