[R-sig-Finance] Testing technical indicators

[Patrick Burns]

The working paper "Random portfolios for evaluating
trading strategies" on the Burns Statistics website may
be of interest to you.

Patrick Burns
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")

Jonathan Patton wrote:

>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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