[R-SIG-Finance] Spread discovery and backtester code

[Jeffrey Ryan]

I'll be the first.

Did you just spam R-sig-finance with closed source code, distributed
as a binary, that USES the community's hard work, without giving back
anything?  That requires a password???!

This is a (very) likely a violation of the GPL in letter and, and
certainly in spirit.

As someone who works rather hard for this community, I will be the
first to request you take your efforts elsewhere. Not a single person
here has 'time' to look at it.

Jeff

On Tue, May 22, 2012 at 2:40 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
> I have developed a spread/strategy backtester, which takes a list of input
> contracts and creates an N-dimensional output of spread combinations, performs
> backtesting and outputs results.
>
> Spread combinations are deduced by correlation & cointegration measures,
> combined with graph reduction to create a manageable result set to backtest.
>
>
>
> Its here:
>
> http://www7.zippyshare.com/v/11292047/file.html
> <http://www7.zippyshare.com/v/11292047/file.html>
>
> Email me for the password (just to keep track of who is interested, so I can
> decide if to tidy it up & comment it more in future).
>
>
>
> The code relies upon my trade netting library:
>
> http://www7.zippyshare.com/v/11292047/file.html
> <http://www7.zippyshare.com/v/11292047/file.html>
>
> (Only built for win64 - however if you email me I can supply source if you want
> to build it yourself)
>
>
>
> Please don't ask me how the code works, I haven't got time to comment it or give
> support. If enough interest is shown - i.e people requesting password and
> telling me they like it, then I will try and make an effort to tidy it up & get
> it using the new parallel functions within latest R build.
>
>
>
> Kind Regards,
>
>
>
> Chris.
>
>
>        [[alternative HTML version deleted]]
>
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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!!!!