[R-sig-Finance] Backtesting speed

[Adrian Trapletti]

The companies I (used to) work for use intraday data, sometimes 
tick-by-tick data, to backtest trading strategies. In that case  speed 
is a very important issue and interpreted language environments like R 
are slow in comparison to compiled language environments like C/C++. 
Generic environment for quant trading might look like the following: 
time critical computations like backtesting and realtime computing in 
C/C++, client/server, GUI etc. in Java, and statistical analysis and 
diagnostics, prototyping etc. in Matlab or R or similar.

Regards
Adrian

>Message: 1
>Date: Mon, 3 Jul 2006 14:02:27 +0900
>From: Manoj <manojsw at gmail.com>
>Subject: [R-sig-Finance] Backtesting speed
>To: "r-sig-finance at stat.math.ethz.ch"
>	<r-sig-finance at stat.math.ethz.ch>
>Message-ID:
>	<829e6c8a0607022202r8e6c165v527847860ed9e368 at mail.gmail.com>
>Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
>Hello All,
>      Generally I do most of my back-test (basically running
>correlation/regression analysis etc on a set of historical data) in R.
>
>      Siince I haven't done any similar analysis on any other
>platform/language, I wonder If any of you out there has any experience
>in conduting computation intensive back-tests in other langauges and
>done some sort of statistics on the time taken to perform the
>back-test in R as oppose to other langauges.
>
>     My hunch is that processing time shouldn't be *very* different
>between R & other languages but then it's just a hunch. Can anybody
>share/comment on there experience? Sorry for the open-ended nature of
>the question.
>
>Cheers
>
>Manoj
>  
>