[R-SIG-Finance] TickData Backtesting in R, is it able now?

[Brian G. Peterson]

On 05/17/2015 09:00 AM, LiuRR wrote:
> I'm new to R, I know that there is a package called quantmod which can perform some basic application in trading.
>
> I just want to now that: until now, is this quantmod package be able to do tick data trading backtesting?
>
> If yes, I'm planning using more time and effort to learn. If not, maybe just try to use an other platform.
<...>
> PS.And I just check the website for quantmod...
>
> in the "what's next", here is the information:
>
> June 10, 2008
> 5、More high frequency testing - possibly tick data
>
> So I guess we still can not do such backtesting in R....
>
> Can anyone expericenced conform that?

R is widely used for backtesting strategies on high frequency data.

The 'model' part of quantmod was never very useful, and was abandoned 
many years ago.  It remains for historical reasons more than anything 
else at this point.

quantmod remains widely used for getSymbols and its charting functions.

You'd need to tell us more about what classes of strategies you plan to 
test, and where you plan to get tick data, before anyone could comment 
on which packages might be appropriate for your needs.

You can be comfortable that there are many people doing strategy 
development on tick data in R though.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock