[R-sig-finance] Backtest trading strategies

[roger bos]

I use R to download data through the ODBC driver, do backtests and
then show simple reports of the results.  Calculating decile return in
R is extremely easy.  My code is so highly specialized for what I am
doing and I couldn't see it being worth much to anyone else, and like
the previous poster my employer would not like me sharing it.  We also
license third party backtesting software, but I like programming in R
because of the infinite ability to customize the code (and its
actually faster).

Simple backtesting code is really easy to write,  Its when you try to
write a program that is generic enough to allow anyone to testing
anything they can think of that you drive yourself crazy.  I don't
think anyone can write backtesting software for you, I think its just
something you have to bit the bullet to do yourself.

Although I wouldn't mine seeing anything Patrick Burns has written,
its always a good way to learn.  I liked your book but it seemed
geared mainly to Unix users.

Thanks,

Roger

On 5/22/05, Patrick Burns <patrick at burns-stat.com> wrote:
> 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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> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >
> >
> 
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