[R-SIG-Finance] Backtesting

[alonbrag]

Hi All,

I am new to R, and I am trying to backtest a simple strategy:
I have a time series <- ts and a filter <- Filter.
I want to check, if abs(ts-Filter)>parameter then get into trade (sell if
ts-filter>parameter, buy if ts-filter< parameter)
now that i am in a trade, i want to check what comes first, profit or
stoploss, lets assume they are of the same size (profit)
i.e. if I am in a sell position, if ts-sellprice>profit -> pnl += profit.
if ts-sellprice < - profit -> pnl -= profit.
after trade closes, continue with checking the ts for more traders etc...
any help with how to program it will be very much appreciated.

Thanks


 





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