[R-SIG-Finance] [R-sig-finance] Any suitable backtest functions?
peter at braverock.com
Wed Jan 21 21:54:26 CET 2009
I'd be very interested in PAST. I'm glad to see you're finding
PerformanceAnalytics useful, too... Any feedback you might have on that front
would be very welcome.
My co-author, Brian Peterson, and Jeffrey Ryan (of xts fame) have all put our
heads together on a trade simulation package called 'blotter', which you can
find on r-forge.r-project.org. It takes the opposite approach to PAST - using
instruments, transactions, P&L, and portfolios - but at some point I'd love to
combine both approaches (weights/returns and instruments/transactions) into a
uniform interface. blotter is very incomplete at the moment, but we're making
On Wednesday 21 January 2009 1:36:35 pm Vijay Vaidyanathan wrote:
> On Jan 21, 2009, at 9:08 AM, R at Nabble wrote:
> > After learning from replies of the list, I think maybe I shoud not use
> > 'backtest' here.
> I don't know if this will help, but one approach to portfolio
> simulation is: to assemble portfolios at regular intervals in time by
> using a certain selection criterion, and then simulate the behaviour
> of that portfolio over time. Youi'll need to specify how to weight
> the portfolio and how long to revisit the weighting and reselection
> decisions etc. This is the model that is used in a number of academic
> A couple of years ago, I implemented this model, and wrote a
> portfolio simulation package in R. I called it PAST, (Portfolio
> Attribution and Simulation Toolkit) and it was designed to be
> database independent. Unfortunately, it isn't in CRAN yet, but I've
> spent the last couple of months cleaning it up and bundling it as an
> R package.
> The major outstanding issue is that It still lacks decent
> documentation, which I am working on and expect to get done in the
> next month or two, after which I hope to submit it to CRAN. In the
> meanwhile, if you can't wait for a month or so, just drop me an email
> message off-list and, I'll send you a link to it on the web so you
> can play with it.
> Also, if you are in the San Francisco Bay Area, I believe that Dave
> Stewart will be giving a talk at the monthly meeting of the Silicon
> Valley SI Pro User Group of the American Association of Individual
> Investors on Feb 2 (at the Saratoga Public Library, 6:30 pm). He'll
> talk about using the software, including helping you getting it
> installed and running some basic simulations. Unfortunately, I will
> be traveling and won't be at the meeting, but you'll be in good hands
> with Dave!
> - Vijay
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