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

LiuRR saji.ren at hotmail.com
Mon May 18 05:29:14 CEST 2015

brian,thank you for your reply.

I am a MT4 user, and plan to convert some scapling strategies to be used in china stock and futures market, which are not very fancy systems.:)
Briefly speaking, it's about using some DSP algos to confirm the low frequency trend condition, and find the entry/exit point in the high frequency...

The logic is pretty simple, but since there are no market dealer in china financial markets, the spreads in many markets are quite suitable. All that should be concerned is the slippage, which i planned to test in the forward testing.

So all i needed is a package which is able to allow my system to give the trading signals in relative high frequncey(not tick time), and can test the strategy in the tickdata...

As to the data, i have the tickdata resource and need not to get it through R package...


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