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

[Ulrich Staudinger]

Try AQ-R, the R offspring of activeQuant. It's in the aq svn repository and,
if you ask me, without down setting the other packages, it is much more
suited and also much more practical for large scale backtesting than the
other ones, it works with bid/ask prices and just as an example, it uses
vectors and not iterations ... 

Well, room for discussion ... 

Cheers

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Daniel
Cegielka
Sent: Sonntag, 20. Juni 2010 02:09
To: Nick Torenvliet
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Recomendations for backtesting...

try "blotter":

http://r-forge.r-project.org/projects/blotter/

regards,
daniel

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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