[R-sig-Finance] Backtesting speed

[BBands]

On 7/2/06, Manoj <manojsw at gmail.com> wrote:
> 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

In my experience scripted languages can be quite fast. The bulk of the
time is usually consumed by a relatively small part of the code.
Profiling to see where the problems are, optimisation of the time
heavy sections and perhaps off loading the still irksome portions to a
C or C++ library can help.

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

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