[R-SIG-Finance] New to R and Finance, backtest etc.
me at censix.com
me at censix.com
Tue Jun 21 07:48:32 CEST 2011
well, I am currently testing an intraday version of the 'qsiblive'
function collection. For now everything above the 30sec bars seems to be
working fine (looking at realTimeBars only). One has to be mindful of
indicator and signal calculations though. If these slow things down to
much, using longer bars may be the only option, aside from optimizing the
indicator/signal processing (which certainly needs to be done at some
point in the future)
> Hey guys,
> has anyone ever checked runtime statistics, in the sense of processing
> speed, etc. of R in live trading?
> Obviously, it is possible to also implement C equations, but I am
> if R etc are used in real intraday trading and about the performance
> characteristics observed.
> On Sun, Jun 19, 2011 at 3:08 PM, <me at censix.com> wrote:
>> once you have developed a strategy in 'quantstrat' and if you feel
>> adventurous and want to use it for live trading, I can (shamelessly)
>> recommend that you have a look at my 'qsiblive' download here.
>> It may be of interest.
>> > 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
>> > to what a programmer would expect).
>> > For now, I've parsed some data (Open, High, Low, Close) of a security
>> > 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
>> > 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.
>> > could I use backtest package to analyse a simple strategy as above?
>> > Additionally, I would like to know, if there are some websites, wikis
>> > which give a basic introduction to R in Finance "for dummies"?
>> > I've
>> > seen so far was more or less for professionals.
>> > Thank you in advance
>> > Alex
>> > [[alternative HTML version deleted]]
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R
>> > should go.
>> R-SIG-Finance at r-project.org mailing list
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
> Ulrich Staudinger
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
More information about the R-SIG-Finance