[R-SIG-Finance] Backtesting trade systems

[Joshua Ulrich]

Robert,

In the "details" section of your RollingFunctions documentation, you
note that you want to add "LAG, TR, ATR, EWMA, etc."  All of these
functions, and more, are already in TTR.

TTR uses xts internally, which provides support all major time-series
classes, not just zoo/xts.  Additionally, many of TTR's functions are
very fast because they use compiled code.

Best,
Josh
--
http://www.fosstrading.com



On Thu, Jul 16, 2009 at 9:41 AM, Robert Sams<robert at sanctumfi.com> wrote:
> Hi Mark,
>
> I have started a package called tradesys which, I think, is a clean
> solution. The project is registered on r-forge
> https://r-forge.r-project.org/projects/tradesys/ and the initial code
> base with documentation will be checked-in by the end of the day London
> time. As a taster:
>
>> library(tradesys)
>> data(spx)
>> tail(spx)
>             Open   High    Low  Close     Volume
> 2009-05-12 910.52 915.57 896.46 908.35 6871750400
> 2009-05-13 905.40 905.40 882.80 883.92 7091820000
> 2009-05-14 884.24 898.36 882.52 893.07 6134870000
> 2009-05-15 892.76 896.97 878.94 882.88 5439720000
> 2009-05-18 886.07 910.00 886.07 909.71 5702150000
> 2009-05-19 909.67 916.39 905.22 908.13 6616270000
>> x <- tradesys(spx, el=MA(Close, 60) > MA(Close, 120), es=MA(Close, 60)
> <= MA(Close, 120))
>> tail(trades(x, uselog=TRUE))
>    phase      etime      xtime time nobs  eprice  xprice    pnl
> ror
> 107    EL 2006-09-21 2007-09-12  356  244 1324.89 1471.10 146.21
> 0.264117052
> 108    ES 2007-09-12 2007-11-09   58   42 1471.10 1467.59   3.51
> 0.006027153
> 109    EL 2007-11-09 2008-01-03   55   36 1467.59 1447.55 -20.04
> -0.034689959
> 110    ES 2008-01-03 2008-06-10  159  109 1447.55 1358.98  88.57
> 0.159301490
> 111    EL 2008-06-10 2008-07-21   41   28 1358.98 1261.82 -97.16
> -0.187159273
> 112    ES 2008-07-21 2009-05-19  302  209 1261.82  909.67 352.15
> 0.825619186
>> tail(equity(x, uselog=TRUE))
>           trade states    delta    price          ror   equity
> 2009-05-12   112     -1 1.331220 6.814016  0.018107970 38.02601
> 2009-05-13   112     -1 1.307543 6.808377  0.007373275 38.30638
> 2009-05-14   112     -1 1.297973 6.784729  0.030694874 39.48219
> 2009-05-15   112     -1 1.259318 6.794318 -0.012075942 39.00541
> 2009-05-18   112     -1 1.274712 6.786796  0.009588169 39.37940
> 2009-05-19   112     -1 1.262606 6.813082 -0.033188777 38.07244
>
> Please checkout and play with the code at your leisure. Anyone
> interested in write-access to the repository should contact me directly.
>
>
> Robert
>
>
> ________________________________
>
>        From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Mark
> Breman
>        Sent: 16 July 2009 15:15
>        To: r-sig-finance at stat.math.ethz.ch
>        Subject: [R-SIG-Finance] Backtesting trade systems
>
>
>        Hello,
>
>        I have spend quit some time now looking for a package that
> allows me to backtest (technical) trading systems based on single
> financial instruments with R.
>
>        I had a look at Rmetrics, blotter, fTrading,
> PerformanceAnalytics, backtest, quantmod, TTR etc, but not one of these
> fill my requirements. It's not that they are not usefull, on the
> contrary, they are all filled with terrific statistical stuff, but it's
> not the simple, practical and straightforward approach that I am looking
> for as a trader rather than as a statisticus.
>
>        So I have decided to build my own solution, reusing as much as
> possible from these existing packages. (As a former software engineer I
> know how much time and effort goes into buiding reliable software, so
> the more reuse the better). As I am quite new to R and statistics in
> general, there is a lot to learn for me here...
>
>
>        What I have build so far is a very basic set of functions called
> "tradesim.R" (I have attached it to this post). A very basic example of
> how these functions can be used for a backtest-run can be found in
> "tradesim_example.R". The example runs a backtest with end-of-day data
> from AAPL, using a (rather poor) trading system based on the RSI
> indicator (from the TTR package).
>
>        Now I have read in some older post on this list that others were
> also searching for a backtesting package. I even read a post proposing
> to start a group effort creating such a package. I suspect that some of
> you might be interested in what I made so far and maybe would like to
> put in a effort creating such a package together. I certainly know that
> it's a lot easier to create good software as a group, rather than by a
> single person...
>
>        So if you are interested have a look at what I got so far and
> let me know what you think.
>
>        Regards,
>
>        -Mark-
>
>
>
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