[R-SIG-Finance] Backtesting Trading systems

[Brian G. Peterson]

On 10/01/2010 11:32 AM, thomasrbolton at yahoo.co.uk wrote:
> I was reading your post on the R forum re the above.
> I am very interested in adapting your RSI trading strategy.
> I wondered if you completed this?
> Since, the algorithm posted is subject to errors, i.e. if say we have a number of consecutive crosses_over followed by a number of consecutive crosses_under the algorithm fails (i.e. if they are not alternate).

There is also a complete RSI demo for the package 'quantstrat' on R-Forge.

Regards,

   - Brian