[R-SIG-Finance] Quantstrat - running applyStrategy in a loop

[Ilya Kipnis]

So I'll let others correct me if I'm wrong, but the way I see it is so long
as you can encapsulate your script in a function, you can wrap it inside a
foreach loop, and return the results of each iteration, or just output
various files as part of the instructions of said function.

On Sun, Aug 19, 2018 at 5:16 PM, James Hirschorn <
james.hirschorn using quantitative-technologies.com> wrote:

> I plan to try it out myself, but I wanted to check here if running
> applyStrategy in a loop, while looping over different dates, will work? I
> could not find any examples of this.
>
> There are 2 reasons for wanting to do this: First of all, one could have a
> couple of years of tick data, which is too big to fit in memory for each
> symbol. Of course, I am assuming that the orders placed by the strategy are
> sparse enough so that the order_book generated by applyStrategy can still
> fit in memory.
>
> The second reason is that if this loop could moreover be run in parallel,
> then there could potentially be a 500x speed up for two years of data.
>
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