[R-SIG-Finance] !SPAM: Re: Recomendations for backtesting...

[Brian G. Peterson]

On 06/20/2010 06:36 AM, Ulrich Staudinger wrote:
> 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 ...

Not everything can be vectorized.

While it is true that much in strategy execution can and should be vectorized, 
at some point there are path dependent steps.  You have a maximum position, or 
your next trade depends on the current trade, or you target position is some 
percentage of current account equity.  While indicators and signals can often 
be vectorized, these path-dependent steps are also a part of strategy 
execution.  Even some indicators are iterative, such as any ARMA or GARCH or 
Kalman model.

That aside, there are always opportunities for performance improvement, and 
C/C++ are readily available for places where the code needs to be faster.

Cheers,

   - Brian