[R-SIG-Finance] Fwd: R to common lisp translator

Brian G. Peterson brian at braverock.com
Tue Jan 25 17:09:41 CET 2011

On 01/25/2011 10:01 AM, Andres Susrud wrote:
> The bottlenecks is when running backtests for larger datasets.I'm also
> looking at some other functions that are updated for every new timestep.

We run backtests in R on complex indicators on tick data where the 
indicator updates every tick.  These complete backtests, including the 
path dependent trade generation rules run (for us) in seconds to a few 
minutes per day of tick data per instrument.  All our code is R (mostly) 
or C/C++ (either implied, like with TTR, or specific to our proprietary 

> for(i in 1:length(dataset)){
> function(dataset[1:i])}

This is a known performance bottleneck in R, and there is quite a lot of 
literature about either reworking this to a vectorized formulation, or 
moving such calculations which *must* be looped to C, Fortran, Java, or 
C++ (for which good integration options already exist in R).

> When generating BM's also for comparisons, I also find the speed in R a bit
> slow, and that's why I'm looking for the bridge that gives more speed.

R-help would be a better place to see if people are doing Lisp in R in 
any repeatable, scalable, manner.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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