Hi,
I am experimenting with the Zorro / R bridge. I have the following Lite-C script, which makes calls to R.
#include <r.h>
function run()
{
set(PLOTNOW+PARAMETERS+LOGFILE);
BarPeriod = 1440;
LookBack = 100;
MaxLong = MaxShort = 1;
if(Init) {
if(!Rstart())
return quit("Error - R won't start!");
Rx("rm(list = ls());"); // clear the workspace
Rx("library(tseries)"); // load time series library
}
if(is(LOOKBACK)) return;
int size = optimize(50,10,100);
Rset("Data",rev(seriesC(),size),size); // send Close series to R
Rx("ADF = adf.test(Data)"); // Augmented Dickey-Fuller test
var adf = Rd("ADF$p.value");
if(adf > 0.6) enterLong();
if(adf < 0.6) exitLong();
plot("ADF p-value", adf ,NEW,RED); //display p-value
}
When I hit the train button, it takes the default value (50) and saves it in the .par file, but no actual training takes place.
Once the value 50 is saved, I can hit test, and everything runs fine. However, there is no optimization happening.
What am I doing wrong here?
Thanks!
