[R-sig-Finance] Fwd: Testing technical indicators

[Jeff Ryan]

I too have been looking for a more elegant solution than my current perl/R approach.

Jab - my current (yet uncoded) thinking has been to migrate everything except the raw data manipulation to R. I'd be interested to hear why you use python for some of your systems and/or test(s).

The only thing keeping me back is from a signal generation standpoint - seems to be easier to leave that outside of R.

Jeff
  

-----Original Message-----
From: BBands <bbands at gmail.com>
Date: Thu, 1 Jun 2006 06:50:20 
To:R-sig-finance <r-sig-finance at stat.math.ethz.ch>
Subject: [R-sig-Finance] Fwd:  Testing technical indicators

On 5/31/06, Jonathan Patton <pattonjava at yahoo.com> 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.

The solution we use is to create the indicators and systems in Python,
pass the results of the test(s) to R for evaluation via Rpy. This has
proved to be a very robust approach that combines the strengths of
each package into a superior solution. We use gnuplot for 3D system
parameter graphics via gnuplot-py, but these days I gather that can be
done nicely in R as well.

     jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.

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