[R-sig-Finance] Testing technical indicators
Jonathan Patton
pattonjava at yahoo.com
Thu Jun 1 00:29:26 CEST 2006
I am a programmer and have downloaded and installed R
and the fExtremes package. I am trying to test various
ideas that I have about the stock market. I've looked
through the function reference inside rMetrics and
there looks to be a lot of useful functions there. I'm
having trouble though finding examples similar to what
I would like to do.
Initially, I would like to test a 5 and 10 day moving
average crossover system to see if there is any
correlation between the 5 day moving average crossing
the 10 day moving average. I'm just looking for some
general direction to get started. I would like to know
if this type of analysis is possible to begin with and
then go from there. R looks great and very powerful.
I've written a small program in vb to do some of this
but was getting stuck when it came to backtesting.
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