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

[Whit Armstrong]

Why don't you throw this up on github.

You'll get more respect from the community that way.

Most people will be reluctant to run code that they cannot inspect for
themselves (myself included).

Also, nice move on the tslib submodules!

-Whit


On Tue, May 22, 2012 at 8:46 AM, mail at chrisbird.com <mail at chrisbird.com> wrote:
> Just to clarify a few points:
>
> (THE TRADE NETTING LIBRARY)
>
> Any code was distributed as a binary - simply so I knew it was in a form
> immediately usable by at least some people. Source code is available (and was
> stated as such) and it is not closed source - I simply have not had the time to
> present it in a professional manner. A question that needs to be asked is would
> you prefer that I try and release something to the community or I don't at all.
> Neither the binary nor the source had any password.
>
> (THE SPREAD DISCOVERY & BACKTESTER)
> R code, no binary. Wrapped in a .zip simply because it makes it easy.
> Password was simply used as a means of tracking interest. Due to the rude
> response I received, I was almost tempted to not publish this in any manner.
> However, as mentioned, the password is algotickbacktesterpassword
>
> Chris.
>
>
>
>
>
> On 22 May 2012 at 12:52 Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
>
>> 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]]
>> >
>> > _______________________________________________
>> > 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 questions
>> > should go.
>>
>>
>>
>> --
>> 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!!!!
>        [[alternative HTML version deleted]]
>
> _______________________________________________
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