Hi Robert,
Yes I found your project on r-forge, but I thought there was not much going
on there (and no code). I will definitly have a look at your code.

Thanks,

-Mark-

2009/7/16 Robert Sams <robert@sanctumfi.com>

> Hi Mark,
>
> I have started a package called tradesys which, I think, is a clean
> solution. The project is registered on r-forge
> https://r-forge.r-project.org/projects/tradesys/ and the initial code
> base with documentation will be checked-in by the end of the day London
> time. As a taster:
>
> > library(tradesys)
> > data(spx)
> > tail(spx)
>             Open   High    Low  Close     Volume
> 2009-05-12 910.52 915.57 896.46 908.35 6871750400
> 2009-05-13 905.40 905.40 882.80 883.92 7091820000
> 2009-05-14 884.24 898.36 882.52 893.07 6134870000
> 2009-05-15 892.76 896.97 878.94 882.88 5439720000
> 2009-05-18 886.07 910.00 886.07 909.71 5702150000
> 2009-05-19 909.67 916.39 905.22 908.13 6616270000
> > x <- tradesys(spx, el=MA(Close, 60) > MA(Close, 120), es=MA(Close, 60)
> <= MA(Close, 120))
> > tail(trades(x, uselog=TRUE))
>    phase      etime      xtime time nobs  eprice  xprice    pnl
> ror
> 107    EL 2006-09-21 2007-09-12  356  244 1324.89 1471.10 146.21
> 0.264117052
> 108    ES 2007-09-12 2007-11-09   58   42 1471.10 1467.59   3.51
> 0.006027153
> 109    EL 2007-11-09 2008-01-03   55   36 1467.59 1447.55 -20.04
> -0.034689959
> 110    ES 2008-01-03 2008-06-10  159  109 1447.55 1358.98  88.57
> 0.159301490
> 111    EL 2008-06-10 2008-07-21   41   28 1358.98 1261.82 -97.16
> -0.187159273
> 112    ES 2008-07-21 2009-05-19  302  209 1261.82  909.67 352.15
> 0.825619186
> > tail(equity(x, uselog=TRUE))
>           trade states    delta    price          ror   equity
> 2009-05-12   112     -1 1.331220 6.814016  0.018107970 38.02601
> 2009-05-13   112     -1 1.307543 6.808377  0.007373275 38.30638
> 2009-05-14   112     -1 1.297973 6.784729  0.030694874 39.48219
> 2009-05-15   112     -1 1.259318 6.794318 -0.012075942 39.00541
> 2009-05-18   112     -1 1.274712 6.786796  0.009588169 39.37940
> 2009-05-19   112     -1 1.262606 6.813082 -0.033188777 38.07244
>
> Please checkout and play with the code at your leisure. Anyone
> interested in write-access to the repository should contact me directly.
>
>
> Robert
>
>
> ________________________________
>
>        From: r-sig-finance-bounces@stat.math.ethz.ch
> [mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Mark
> Breman
>        Sent: 16 July 2009 15:15
>        To: r-sig-finance@stat.math.ethz.ch
>        Subject: [R-SIG-Finance] Backtesting trade systems
>
>
>        Hello,
>
>        I have spend quit some time now looking for a package that
> allows me to backtest (technical) trading systems based on single
> financial instruments with R.
>
>        I had a look at Rmetrics, blotter, fTrading,
> PerformanceAnalytics, backtest, quantmod, TTR etc, but not one of these
> fill my requirements. It's not that they are not usefull, on the
> contrary, they are all filled with terrific statistical stuff, but it's
> not the simple, practical and straightforward approach that I am looking
> for as a trader rather than as a statisticus.
>
>        So I have decided to build my own solution, reusing as much as
> possible from these existing packages. (As a former software engineer I
> know how much time and effort goes into buiding reliable software, so
> the more reuse the better). As I am quite new to R and statistics in
> general, there is a lot to learn for me here...
>
>
>        What I have build so far is a very basic set of functions called
> "tradesim.R" (I have attached it to this post). A very basic example of
> how these functions can be used for a backtest-run can be found in
> "tradesim_example.R". The example runs a backtest with end-of-day data
> from AAPL, using a (rather poor) trading system based on the RSI
> indicator (from the TTR package).
>
>        Now I have read in some older post on this list that others were
> also searching for a backtesting package. I even read a post proposing
> to start a group effort creating such a package. I suspect that some of
> you might be interested in what I made so far and maybe would like to
> put in a effort creating such a package together. I certainly know that
> it's a lot easier to create good software as a group, rather than by a
> single person...
>
>        So if you are interested have a look at what I got so far and
> let me know what you think.
>
>        Regards,
>
>        -Mark-
>
>
>
>
>
>

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