[R-sig-finance] backtesting trading strategies

[Patrick Burns]

An R package is available containing some of the code
that was used in the computations of the working paper
described below.  The functions should be of interest
as examples rather than as something to use out of the
box.

The package can be installed with the command:
install.packages('evalstrat', 
repos='http://www.burns-stat.com/pages/Freecode')

On Windows it should work on version 2.1.x, 2.2.x and
2.3.x.  If you are on a version older than that, it's time to
update anyway.

In the working papers section of the Burns Statistics website is:

          Random Portfolios for Evaluating Trading Strategies

Abstract: Random portfolios can provide a statistical test that a
trading strategy performs better than chance.  Each run of the
strategy is compared to a number of matching random runs that
are known to have zero skill.  Importantly, this type of backtest
shows periods of time when the strategy works and when it doesn't.
Live portfolios can be monitored in this way as well.  This allows
informed decisions -- such as changes in leverage -- to be made
in real-time.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com