[R] newbie question: strategy

[R. Michael Weylandt]

So you want us to deliver an entire backtesting architecture for you?
That's a pretty hefty request...

But being R, it's already been done. This has all basically been made
available in the quantstrat project (google it) -- the documentation
is online and you can see lots of worked examples in the R-SIG-Finance
archives.

The PerformanceAnalytics package can also help with your plotting needs.

Michael

On Fri, Apr 6, 2012 at 11:19 PM, sysot1t <sysot1t at gmail.com> wrote:
> newbie to R, less than a week, and I ordered some books about R, but I learn
> better by examples.. and thus far I cant find a good example of what I am
> trying to do... which follows:
>
> assuming one is using any instrument intra-day data... I want to..
>
> open a file (lets name it signal) that will contain two fields...
> date/time(MM/DD/YYYY HH:MM) and signal (1=buy,-1=sell)
> open a file with real time data for instrument (I cant find anything that
> will let me access intra-day online directly from someone like IQFeed or
> eSignal) the content of the file will look as follows:
>
> "Date","Time","Open","High","Low","Close","Volume"
> 05/16/2007,10:15,74.800,74.850,74.550,74.725,123
> 05/16/2007,10:16,74.700,74.700,74.600,74.625,33
> 05/16/2007,10:17,74.675,74.725,74.600,74.600,21
>
> I would like to be able to determine the start and end of the period to
> test, and verify that signals exist within that period or assume the signals
> are 0... for no trades..
>
> then I would like to basically process the signal file.. and at the time of
> the "signal" whenever I see -1 then sell instrument, if I see 1, then buy
> it... to determine the buy price, I would like to make sure the signal time
> coincides with the intraday data time.. and then either buy/sell the next
> minute open... then given a set of variables (target, stop) I would
> basically either sell at target or stop... the other thought is to buy/sell
> after X number of target/stop bars.. also, if an opposite signal is
> processed before target/stop are reached, the position would immediately
> reverse...
>
> the above assumes 1 minute bars for simplicity....
>
> to view the results, I want to then chart the chart candles and the signals
> on the chart... with the P&L below the chart... assuming a starting
> portfolio of X size, where X is a variable set to 0.00...
>
> any assistance at all would be greatly appreciated... if you can, please
> document any code tidbits to assist with my learning process...
>
> thanks!
>
>
>
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