[R-sig-finance] Backtest trading strategies

[Patrick Burns]

I've written backtesting code that uses POP.  It is essentially just a
for loop that steps through time and implements the strategy at each
step.  I may put a class on the result so that I can write 'summary'
and 'plot' methods to view the results more conveniently.

I would be surprised if there is something that can save substantial
time over just writing the loop yourself.  But then I'm surprised a lot.

However the backtest is computed, it seems to me that R is the
right place for the results to be viewed and analyzed.

Patrick Burns

Burns Statistics
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")


Neuro LeSuperHéros wrote:

> Hello,
>
> Has anybody ever implemented a trading strategies backtest program on 
> R?  Or succesfully linked R to an existing backtest software? I'd like 
> to know what has been/can be done.
>
> Regards,
>
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