[R-SIG-Finance] backtesting engine (full-blown) application
Brian G. Peterson
brian at braverock.com
Wed Sep 26 13:39:25 CEST 2007
adschai at optonline.net wrote:
> Hi - I guess you might have experience or suggestion on this subject. I am looking for an application vendor that supports strategy creation, backtesting and also offers actual AES functionality. Also, pre-trade and post-trade analysis should be supported. I'm wondering if there is any vendor that provides a good framework at reasonable $$ or not. Any suggestion would be really appreciated. Thank you.
There are many many commercial portfolio back testing engines available.
They range from pretty good to worthless.
One key question you'll need to ask is what instruments, data feeds,
other systems, etc. you need to integrate to. Many of the less
expensive systems have very limited capabilities for getting data in an
out, placing all the effort on you to get the data, feed it into the
system, make your trades, and then feed the results back into the
optimizer. This is why many small-to-medium sized asset managers build
their own infrastructure.
There are some R packages available to aid you in the build-your-own
approach, and I'm sure the community would continue to contribute to
building an open framework for doing portfolio analysis.
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