[R-SIG-Finance] New to R and Finance, backtest etc.

[Alex Grund]

Hi Julien,

thank you for the link to Brian Peterson's work. I played around with
the code, but some things do not work correctly.
Maybe you know, how to fix them:

The main problem is caused by this line:

`  out <- try(applyStrategy(strategy='s' , portfolios='faber'))

which, obviously, is the most important line :-) The error message I get is:

`  Error in if (length(j) == 0 || (length(j) == 1 && j == 0)) { :
`  Fehlender Wert, wo TRUE/FALSE nötig ist (translates to: "Missing
value, where TRUE/FALSE is required")

Since I did not modify the code from the PDF I think this may be a bug
in the software or a missing line of code in the PDF.
However, help is really appreciated!

"tradeStats('faber')" of course, returns NULL.
"chart.Posn('faber')" gives this error:
`  Fehler in .Internal(get(x, envir, mode, inherits)) : 'x' fehlt
(translates to: error in ~: 'x' missing)

However, I have a veriable called x in my workspace, which is
displayed with "ls()", and it's non-empty:

`  > x[1]
`             XLU.Open XLU.High XLU.Low XLU.Close XLU.Volume XLU.Adjusted
`  1998-12-31    30.25    30.83   29.64     30.23     162900        20.12


Thank you very much!

Alex.


2011/6/19 julien cuisinier <J_Cuisinier at hotmail.com>:
> Hi Alex,
>
> www.rinfinance.com/agenda/2011/BrianPeterson.pdf
>>> reference main packages you will ever need I think... & as mentioned in
>>> previous feedback quantmod is excellent & think quantstrat better (i,e, more
>>> widely used) than the "backtest" package that I personally do not know
>>> and in general RFinance conference papers, could be good to throw a
>>> glance at them...
> http://www.statmethods.net/
>>> very well done (in my humble opinion) website for intro into R, its main
>>> data type etc..
> HTH,
> Julien
>
>
>
> On Jun 18, 2011, at 5:16 PM, Alex Grund wrote:
>
> Hi there,
>
> I am new to R and want to perform a few experiments with trading strategies
> with R.
>
> However, I have experience in programming, but not in R (it's very similar
> to what a programmer would expect).
>
> For now, I've parsed some data (Open, High, Low, Close) of a security via
> read.table, which works fine.
> What I want to do now, is to perform a backtest of a simple trading strategy
> with R. Say, for example "buy on cross of MA(200) and MA(100)". Of course I
> could write the backtest routine by myself, but I saw a package called
> backtest. However, I do not really get the point how this may work. How
> could I use backtest package to analyse a simple strategy as above?
>
> Additionally, I would like to know, if there are some websites, wikis etc.
> which give a basic introduction to R in Finance "for dummies"? Anything I've
> seen so far was more or less for professionals.
>
>
> Thank you in advance
> Alex
>
> [[alternative HTML version deleted]]
>
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