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

[OpenTrades]

Dave,

Quantstrat and PerformanceAnalytics can deal with any time frame really. 
Check the luxor demo's in the quantstrat demo dir and you will see examples.

Use the xts package for your data (as do the luxor demo's), and check 
(a.o.) the functions ?to.period, ?to.minutes15 etc. for more info. Also 
read to xts manual to understand its power, and why you should use xts.

Regards,

Jan Humme.



On 12-09-12 17:37, Dave wrote:
> 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
> capabilities.
>
> 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?
> Yes.
>
> 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]
>
> Regards,
>
>      - Brian
>
> Ref:
> [1] Posting Guide
> http://www.r-project.org/posting-guide.html
>
> [2] How To Ask Questions The Smart Way
> http://www.catb.org/esr/faqs/smart-questions.html
>
> [3] How to search the R-sig-finance archives
> http://www.portfolioprobe.com/2012/01/19/how-to-search-the-r-sig-finance-arc
> hives/
>
> [4] R Cookbook
> http://www.amazon.com/Cookbook-OReilly-Cookbooks-Paul-Teetor/dp/0596809158
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
> 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.
>


-- 
Jan Humme - OpenTrades

WWW:     http://www.opentrades.nl
Email:   jan at opentrades.nl
Twitter: @opentrades