Hello,<div><br></div><div>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.</div><div><br></div><div>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.</div>
<div><br></div><div>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...</div>
<div><br></div><div>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). </div>
<div><br></div><div>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...</div>
<div><br></div><div>So if you are interested have a look at what I got so far and let me know what you think.</div><div><br></div><div>Regards,</div><div><br></div><div>-Mark- </div><div><br></div><div> </div><div><br></div>
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