[R-SIG-Finance] QuantMod trading models docs?

[Mark Knecht]

2009/10/12 Jeff Ryan <jeff.a.ryan at gmail.com>:
>>   Thanks. Can I just install that over the top of the currently
>> installed CRAN version? If so I'll give it a try today. If not then am
>> I required to so a remove.packages first?
>>
>
> Should just be able to install over.  You will have to wait for the
> updates on R-forge to get built, or you could always install from
> source (the svn tree).

I guess I could switch to a Gentoo machine to do my own builds from
SVN but mostly I'm stuck on Windows during the day due to
TradeStation. I have no experience building anything from source on
Windows. I'll try Gentoo this afternoon as an experiment and see if it
works out at all.

>
>>   To keep the email list smaller thanks for the pointer over the
>> weekend to the previous conversation on this topic. It's clear folks
>> have given this a great deal of thought and there are a number of
>> tools out there that address at least portions of the problem. that
>> should make for many hours of investigation on my part.
>
> Usually does make things faster.
>>
>>   Maybe it's just a terminology thing but I'm surprised that
>> backtesting - to me simply executing the model on a given data set and
>> collecting the results - should be considered so difficult. I would
>> have thought that would be relatively straight forward and maybe
>> optimization would be the real problem.
>>
>>   In terms of and code I'd certainly be happy to share non-system
>> specific portions but please don't hold your breath. I'm not a
>> programmer so all of this stuff is a struggle and results come very
>> slowly. That said my original thought on this would have turned some
>> of what I see in blotter into something that looks a bit more like
>> EasyLanguage on TradeStation, but that's just so I can go back and
>> forth between R and TS. EL really only has 4 commands for buy/sell
>> operations:
>>
>> Buy
>> Sell
>> SellShort
>> BuyToCover
>>
>> and then adds the modifiers "market", "stop" o r limit" to specify the
>> way the order executes against price. I was going to focus on creating
>> some code to do that and see where it led me.
>>
>>   I am a bit concerned reading through your thread that possibly I'm
>> going to have real trouble with tick data in R? I'm not working on
>> end-of-day stuff as I'm a day trader and am flat every night. (Deity
>> willing) My tick data is has date and time but isn't guaranteed unique
>> in that respect. Is there any reason you or others know of why xts or
>> zoo should not handle tick data?
>>
> Tick data should be no problem for xts or zoo.  Many people use it for
> that with good success.  Uniqueness is an issue outside of the time
> representation.  You can always do something to make the timestamp
> unique.  The question is whether or not you should treat it as unique.
>  Depends on what you are doing really.

Certainly. I can output BarNumber from TradeStation or just create my
own value in R.

>
> Others on this list are very active in the high-freq space, so one or
> more may provide some detailed comments.

Nothing high-frequency about my trading today. Seems like the futures
market is stuck in a few tick window this morning... :-)

>
>>   Clearly I have a lot to study and since turtles now runs I can do that.
>
> Keep us posted (on or off list).
>

Will do.

Cheers,
Mark