[R-sig-Finance] portfolio package update and RFC on package names
Martin Maechler
maechler at stat.math.ethz.ch
Mon Jun 19 14:01:12 CEST 2006
>>>>> "DavK" == David Kane <dave at kanecap.com>
>>>>> on Tue, 13 Jun 2006 09:20:34 -0400 writes:
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DavK> RFC: Is "backtest" a good name for such a package?
not bad in any case;
though I think it is also a bit on the "too generic" side,
I think it would be fine to keep the name.
DavK> 4) The other package will *require* the portfolio
DavK> package and will provide a *much* more serious
DavK> environment for backtesting. Some people in finance
DavK> distinguish between "backtests" --- meaning simple
DavK> approaches to seeing if a given signal would work
DavK> without worrying too much about trading rules,
DavK> investibility and the like --- and "simulations" ---
DavK> meaning testing environments in which you do things as
DavK> much as possible as you would in the "real world.".
DavK> An example of the difference between "backtests" and
DavK> "simulations" concerns funds under management. A
DavK> typical "backtest" --- looking at decile spreads for a
DavK> price-to-book signal on a monthly basis for the last
DavK> decade --- does not explicitly worry about the amount
DavK> of money under management. It is implicitly assumed
DavK> that you could trade into the desired positions
DavK> whether you are managing ten million or ten billion
DavK> dollars. A "simulation" would take position size
DavK> seriously. It might take days/weeks more to invest the
DavK> ten billion than the ten million, time during which
DavK> you do not get the benefit of holding those
DavK> stocks. Our simulation package will take these and
DavK> related issues seriously.
DavK> RFC: "simulation" does not seem like a good name for
DavK> this package since the terms overlaps too much with
DavK> other R communities.
yes indeed.
DavK> What would be a good name?
"stockSimulation" or
"stocksim"
since it simulates things that happen at a "stock exchange",
right? (but not just "stocks", of course)
or then something like
exchangeSimulation
xchgSimulation
xSimul
or
portfolioSim
PFsimulation
PFSimul
...
?
DavK> Thanks,
DavK> Dave Kane
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