[R-SIG-Finance] Backtesting Suite which can show profit/loss by time (drilldown by N time intervals)

Dave miniflowtrader at gmail.com
Wed Sep 12 17:37:30 CEST 2012

Thanks for the pointers.

Apparently quantstrat and PerformanceAnalytics seem to be used a lot.  I
don't see anything that is specific to their intraday reporting

Will experiment.

-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com] 
Sent: Wednesday, September 12, 2012 10:37 AM
To: Dave
Cc: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Backtesting Suite which can show profit/loss by
time (drilldown by N time intervals)

On 09/12/2012 09:18 AM, Dave wrote:
> I'm looking for a backtesting package in R that can report profit/loss 
> for a trading system by intraday time intervals.
> Does anything currently exist which has the ability to output this 
> information?


Please follow the posting guide[1] and good netiquette[2]; kindly search
before posting and demonstrate that you've put in some effort.

Searching rseek.org for 'transaction profit and loss' in the 'support lists'
tab should amply answer your question.

Also, Pat Burns previously posted a blog entry on searching for information
in R[2] and Paul Teetor covers it well in the R Cookbook [3]


    - Brian

[1] Posting Guide

[2] How To Ask Questions The Smart Way

[3] How to search the R-sig-finance archives

[4] R Cookbook

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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