[R-sig-finance] Backtest trading strategies

[Gabor Grothendieck]

On 11/28/05, Pijus Virketis <pvirketis at hbk.com> wrote:
> Much as I love R, I had occasion to contemplate its limitations vis-à-vis Python this weekend, when I had to scrape brutally malformed HTML and actually found it to be fairly painless thanks to BeautifulSoup (http://www.crummy.com/software/BeautifulSoup/). Reading through the neat code (a mere 1000 lines with comments), it seemed pretty clear that the R equivalent would be much more cumbersome (just the OO aspect would be hard to replicate,

I have not reviewed Beautiful Soup but regarding the comments on OO
there are four OO models available in R (S3, S4, the proto package and
the oo.R package) so I doubt there is much that can't be readily done in R
in the way of OO.

> not to mention the libraries BeautifulSoup can count on). But thanks to Rpy (http://rpy.sourceforge.net/), one can have the best of all worlds! Use Python for general programming tasks and take advantage of existing libraries, use R for data analysis and visualisation, and have everything on the same page for maintainability and clarity.

>From a maintainability viewpoint having everything in one language would
surely be preferable.

>
> > -----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
> > Gabor Grothendieck
> > Sent: Saturday, November 26, 2005 8:14 AM
> > To: paul sorenson
> > Cc: r-sig-finance at stat.math.ethz.ch
> > Subject: Re: [R-sig-finance] Backtest trading strategies
> >
> > On 11/26/05, paul sorenson <sourceforge at metrak.com> wrote:
> > > Gabor Grothendieck wrote:
> > > > On 11/26/05, Rob Steele <rfin.20.phftt at xoxy.net> wrote:
> > > >
> > > >>Neuro LeSuperHéros wrote:
> > > >>
> > > >>>Hello,
> > > >>>
> > > >>>I understand the utility of MySQL for data storage.  But why is
> > > >>>Python essential?  What does it do that R can't do for system
> > > >>>creation/calculation?
> > > >>>
> > > >>>Thanks
> > > >>
> > > >>
> > > >>Python is great for parsing data from wherever you get it and
> > > >>populating databases.  MySQL is ideal for the
> > > >>write-once-read-thereafter scenario that research
> > implies.  You can
> > > >>use R for the initial data marshaling if you'd rather not learn
> > > >>another language but Python seems like a better fit for
> > that sort of
> > > >>thing.  It's a scripting language that integrates more naturally
> > > >>into its host environment.  For analysis and
> > visualization however, R absolutely rules.
> > > >
> > > >
> > > > I don't use MySQL so won't comment on that part but for
> > parsing data
> > > > I have found R to have everything I need.  I used to use perl
> > > > but now use R exclusively.    R's string manipulation includes
> > > > regular expressions and the vector processing often simplifies
> > > > string manipulation by eliminating loops over lines or vectors of
> > > > strings.
> > > >
> > > > To me its much easier to maintain code if its all in one language
> > > > and moving to R has enabled me to replace a bunch of perl, batch
> > > > files and other statistical software with R which really
> > helps clean
> > > > it all up.  (Actually I still have some Windows batch files, see
> > > > http://cran.r-project.org/contrib/extra/batchfiles/, but they are
> > > > only for generic configuration utilities and nothing
> > specific to any
> > > > application.)
> > >
> > > Each to their own I guess.  I happen to be much more familiar with
> > > Python than R and often use it to grab data in various
> > formats which R
> > > won't read.  I wouldn't dream of using an MSDOS batch file.  As I
> > > learn more about R, I tend to do more in it but I couldn't imagine
> > > myself parsing dodgy HTML, for example, with it.
> >
> > Actually I use R for parsing HTML and for parsing XML too.  I
> > do agree by Rob that it would be nice if R worked better with
> > shells and also wish I could write small self contained
> > executables in R like one can in tcl and Python.
> >
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> >
> >
>
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