[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:


    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

since it simulates things that happen at a "stock exchange",
right? (but not just "stocks", of course)

or then something like





    DavK> Thanks,

    DavK> Dave Kane

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