Patrick,

Thanks for the contribution.  I was intrigued by the idea, but I thought I
would need POP to run the code?  I thought POP was used to create the random
portfolios.  Is POP not necessary, or does it come with a limited-version of
POP.

Thanks,

Roger


On 2/11/06, Patrick Burns <patrick@burns-stat.com> wrote:
>
> An R package is available containing some of the code
> that was used in the computations of the working paper
> described below.  The functions should be of interest
> as examples rather than as something to use out of the
> box.
>
> The package can be installed with the command:
> install.packages('evalstrat',
> repos='http://www.burns-stat.com/pages/Freecode')
>
> On Windows it should work on version 2.1.x, 2.2.x and
> 2.3.x.  If you are on a version older than that, it's time to
> update anyway.
>
> In the working papers section of the Burns Statistics website is:
>
>          Random Portfolios for Evaluating Trading Strategies
>
> Abstract: Random portfolios can provide a statistical test that a
> trading strategy performs better than chance.  Each run of the
> strategy is compared to a number of matching random runs that
> are known to have zero skill.  Importantly, this type of backtest
> shows periods of time when the strategy works and when it doesn't.
> Live portfolios can be monitored in this way as well.  This allows
> informed decisions -- such as changes in leverage -- to be made
> in real-time.
>
>
> Patrick Burns
> patrick@burns-stat.com
> +44 (0)20 8525 0696
> http://www.burns-stat.com
>
> _______________________________________________
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>

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