[R-SIG-Finance] Recomendations for backtesting...

Daniel Cegiełka daniel.cegielka at gmail.com
Sun Jun 20 02:08:52 CEST 2010

try "blotter":



2010/6/20 Nick Torenvliet <nick.torenvliet at gmail.com>:
> My short term goal is to put together enough tools to investigate
> algorithmic trading strategies -- everything I've read about and more.
> Long term goal is to put, short, long, call, swap and iterate gracefully :-)
> So at this point I have the following in hand:
> - End of day data for virtually anything I want to take a look at via
> www.eoddata.com and some code I wrote that can be found at
> http://code.google.com/p/quantkit/ (warning ... developed plugging his
> work... if you are interested and can't figure out how to build the svn
> checkout let me know I'd be more than happy to assist)
> - Intraday data for specific contracts I want to drill down on using the R
> package IBrokers -- (thanks Jeff)
> - As much graphing and technical indicators as I could want using R package
> quantmod -- (thanks again Jeff)
> - Trade initiation via activequant or IBrokers (thanks Ulrich), or just
> using the IB api straight up.
> - Some business media text mining capability using more stuff at the link
> above and the R package tm (thanks Ingo)
> I am now looking at trying my hand at backtesting.  I've looked at
> activequant and I like it a lot, however that being said at this point I'd
> be into a command line tool based in R that would allow me to set up a time
> series block and run functions against it as fast as I can type them.
> Which bring me back to something in R -- I know Ulrich is putting together
> some R/activequant backtesting functionality and I know quantmod and
> backtest are two R packages that can support backtesting.
> Two questions... am I missing any options for backtesting in R AND is anyone
> willing to share the benefit of experience, or make recomendations, with
> regards to these packages...
> Regards and enjoy this absolutely beautiful weekend - it is time to find a
> patio somewhere!!
> Nick
>        [[alternative HTML version deleted]]
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