[R-SIG-Finance] Backtesting / virtual portfolio

[Lui ##]

Dear Team,

thanks for your replies (despite not having raised a typical R-issue)
- but I guess it is of interest for many :-)
There is no doubt that information is expensive - especially on stock
quotes. However, I would not judge / base the ability of someone only
with respect to the amount of money he spends on real-time data :-)
Just owning an expensive Bloomberg terminal does not help - and a
first step to increase the net return is decrease costs such as
trading costs, etc.

I mean the main problem is: just because I am spending a lot of money
(possibly thousands of Euro)it does not automatically mean, that I am
allowed to share the pricing information publicly or somebody else -
which is the main problem in my case. The next thing is that I do not
want to spend thousands of Euros (or dollars) just to have a "virtual
portfolio" I could share - I mean, honestly, what is the point in
doing so?

I found stocktrak, warketwatch and some others would offer the
benefits for most of my purposes more or less for free - but they
don't offer pricing of futures in German indices. It does add some
more value if you can have a "neutral quotes and trading" platform to
test your strategies - I never really trsuted backtestingstrategies.

So - I am still open for ideas with respect to that :-)
Thanks a lot for all of your help! I really appreciate it! I searched
for that for quite a while - but it seems like there is no possibility
to show "what would happen to a portfolio" in realtime to potentially
interested persons - unless you have a fund or do it with real
money... :-/

I only carry out trades on a day-to-day basis, so no intraday trading...

Lui

On 11/29/11, Mark Leeds <markleeds2 at gmail.com> wrote:
> hi: brian says "not planning on making hundreds of trades per day"  because
> if you're doing hundreds of trades per day, then this means you have
> relatively short term holding periods, probably on the order of minutes.
> so, it's hard to know if you're gonna be able to get in to the trade at the
> time and price you want and out of the trade at the time and price you
> want. ( when you backtest or paper trade, you're seeing either trades or
> quotes and you can't be sure you can DEFINITELY be sure that your trade can
> be
> filled or closed out  at those prices ) and then, since the trades have
> short term holding periods, this ( whether you can get in or can't get in
> or get out or can't get out ) will effect the results a lot.
>
> on the other hand, in a  scenario where you're holding periods are longer,
> it doesn't matter as much what price and time you get in. for example,  if
> you're holding period is say a week or more, then it's probably not going
> to make a heck of a difference whether you get into a trade mid-day or end
> of day or get out mid-day or end of day. so, the paper trading will be more
> realistic in the longer holding period scenario.  I hope that clarifies
> what you didn't understand.
>
>
> mark
>
>
>
>
>
>
> On Mon, Nov 28, 2011 at 11:18 PM, Christofer Bogaso <
> bogaso.christofer at gmail.com> wrote:
>
>> Sorry for my ignorance............" are not planning on making
>> hundreds of trades per day, " why it is so?
>>
>> Thanks and regards,
>>
>>
>> -----Original Message-----
>> From: r-sig-finance-bounces at r-project.org
>> [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Brian G.
>> Peterson
>> Sent: Tuesday, November 29, 2011 7:43 AM
>> To: Lui ##
>> Cc: r-sig-finance
>> Subject: Re: [R-SIG-Finance] Backtesting / virtual portfolio
>>
>> On Tue, 2011-11-29 at 01:00 +0100, Lui ## wrote:
>> > after backtesting strategies for a while I am wondering how to
>> > actually "prove" they "kind a work" in a "as realistic as possible"
>> > market environment. Even though I know this is not exactly related to
>> > R - it is just one step further. Do you have any suggestions for
>> > Portfolio Simulations that could be shared with others online - and
>> > enable a real time (or close to real time) portfolio tracking? I came
>> > across www.stocktrak.com but I do not know whether that is the right
>> > thing for me - especially since I am mainly interested in German
>> > Future contracts and $60 per month seem quite expensive...
>> > The actual underlying issue is "building up some credibility" with
>> > respect to the buy/sell suggestions a certain trading strategy may
>> > suggest - I don't think my bank account statement will serve that
>> > purpose... I was looking for something more transparent that could be
>> > incorporated into a website...
>> >
>> > Thanks a lot for your suggestions and help - and again my apologies -
>> > its not directly R, but closely linked to the topic... :-) Lui
>>
>> Definitely not R, but here are a couple thoughts:
>>
>> Many brokers, including InterActiveBrokers, support paper trading, where
>> you
>> can trade in real time and keep track of P&L.  If you place realistic
>> orders
>> (limit orders of reasonable size), then you can assume that your paper
>> trading, if done in real time, closely mimics your potential results on a
>> live account during that period.
>>
>> I suspect that if $60/month is too much to spend for a useful tool, you
>> need
>> to consider whether you are ready to be a professional trader.  We spend
>> thousands of dollar per month just on data, and thousands more on trading
>> infrastructure, for a very small trading operation.
>>
>> If you are making realistic assumptions and are not planning on making
>> hundreds of trades per day, you should be able to get more than 90%
>> correlations between backtests and production in R.
>>
>> Regards,
>>
>>   - Brian
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
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>