[R-sig-finance] Re: R-sig-finance Digest, Vol 12, Issue 11

albertofogale albertofogale at libero.it
Sun May 22 21:05:30 CEST 2005


Ciao,
ti posto il contenuto di oggi della mailing list R Finance. Si parla di
sistemi di backtest per i trading system. Forse trovi qualche
informazione interessante per il tuo progetto.


Il giorno dom, 22-05-2005 alle 12:15 +0200,
r-sig-finance-request at stat.math.ethz.ch ha scritto:
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> Today's Topics:
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>    1. Backtest trading  strategies (Neuro LeSuperH?ros)
>    2. RE: Backtest trading  strategies (Whit Armstrong)
> 
> 
> ----------------------------------------------------------------------
> 
> Message: 1
> Date: Sat, 21 May 2005 14:21:22 -0400
> From: Neuro LeSuperH?ros <neuro3000 at hotmail.com>
> Subject: [R-sig-finance] Backtest trading  strategies
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <BAY104-F19153B9FE059E7EB85A765AF0A0 at phx.gbl>
> Content-Type: text/plain; charset=iso-8859-1; format=flowed
> 
> 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,
> 
> 
> 
> ------------------------------
> 
> Message: 2
> Date: Sat, 21 May 2005 15:28:53 -0400
> From: "Whit Armstrong" <whit at twinfieldscapital.com>
> Subject: RE: [R-sig-finance] Backtest trading  strategies
> To: <r-sig-finance at stat.math.ethz.ch>
> Message-ID:
> 	<726FC6DD09DE1046AF81B499D70C3BCE1FDFE7 at twinfields02.CORP.TWINFIELDSCAPITAL.COM>
> 	
> Content-Type: text/plain;	charset="iso-8859-1"
> 
> There are only a few of which I'm aware.
> 
> One is built into CQG: http://www.cqg.com/
> but only runs on one asset at a time (as a study)
> 
> And there is one in LIM: http://www.lim.com/
> There is a LIM/S interface available, and I've been working on a LIM/R interface which could probably be used to do what you want if you're willing to purchase LIM.
> 
> I am dedicating some time at work to a solution for trading simulation / backtesting, but unfortunately, it will remain proprietary.
> 
> Good luck,
> Whit
> 
> 
> 
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Neuro LeSuperHros
> Sent: Saturday, May 21, 2005 2:21 PM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-sig-finance] Backtest trading strategies
> 
> 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,
> 
> _______________________________________________
> R-sig-finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> 
> 
> 
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> End of R-sig-finance Digest, Vol 12, Issue 11
> *********************************************



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