[R-SIG-Finance] Anyone can help with backtesting?

[Jeffrey Ryan]

For quantstrat there is _copious_ documentation in the demos and on this list.

You'll also be advised to get familiar with R if you intend on using
R.  Myriad of sources for this as well, including some good books out
there.  No books cover quantstrat at present, though Data Mining with
R by Torgo has a large chapter using quantmod/xts and custom code
which is a decent place to see how things work without the niceties of
quanstrat as a strategy abstraction.

R Cookbook by Teetor is also a nice intro to R.

Jeff

On Fri, Mar 9, 2012 at 10:21 AM, Sebastian Steins
<sebastian.steins at gmail.com> wrote:
> Anyway, what would be the way to implement such a strategy in quantstrat?
>
> On Fri, Mar 9, 2012 at 5:13 PM, julien cuisinier
> <j_cuisinier at hotmail.com> wrote:
>> I do not know this package (so it could be brilliant) but I would go for
>> quantstrat instead, seems more used / followed and hence less bug prone I
>> guess
>>
>>
>>
>>> Date: Fri, 9 Mar 2012 15:38:02 +0100
>>> From: sebastian.steins at gmail.com
>>> To: r-sig-finance at r-project.org
>>> Subject: [R-SIG-Finance] Anyone can help with backtesting?
>>
>>>
>>> Hi,
>>>
>>> I am currently trying to think about some investment strategies which
>>> I want to backtest in R. So I found this toolbox as a great tool for
>>> doing so:
>>> http://systematicinvestor.wordpress.com/2011/11/25/introduction-to-backtesting-library-in-the-systematic-investor-toolbox/
>>>
>>> However, since I am not that familiar with R and the way you create
>>> the strategies in code, I am a bit confused on how to implement my
>>> idea.
>>>
>>> The idea is the following:
>>>
>>> There are two basis modules of the portfolio, which should be weighted
>>> about 40:60. To keep things simple at first, think of those modules as
>>> of two strategies, the first one is the rotational trading strategy
>>> (ranked by low volatility)[A], the second one is basically the same
>>> strategy, but ranked by high performance[B].
>>> After one year there should be done something specifically. At the
>>> first day in any new year:
>>> - if the overall profit of module A and B is greater than 0, positions
>>> should be sold until the initial 4:6 ratio is reached again. The free
>>> capital should then be invested in an fixed income ETF.
>>> - if the overall profit of module A and B is less than 0, nothing
>>> should be done.
>>> - If there is any profit in the fixed income ETF, at the first day in
>>> any year positions in the ETF should be closed, the free capital
>>> should then be invested again in modules A, B according to their 4:6
>>> weights.
>>>
>>> Can you give me any hints on how to implement such a thing, with the
>>> toolbox mentioned above or in any other way? At the moment I do not
>>> even know how to start.
>>>
>>>
>>> Thank you for your kind support!
>>>
>>>
>>> Sebastian
>>>
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>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com
www.esotericR.com

R/Finance 2012: Applied Finance with R
www.RinFinance.com

See you in Chicago!!!!