On Jun 19, 2010, at 5:08 PM, Daniel Cegiełka wrote:

> try "blotter":

I've been working on a backtesting package called PAST for the last several years. It supports historic data from the AAII SIPRO database snapshots and of course from a dataframe.

Unfortunately, it still has no "in-R" documentation, but there is some external documentation.

I hope to integrate it with Blotter sometime this summer, but it works with PerformanceAnalytics now.

Details are at this URL, but be warned, it is very much a work in progress.

http://homepage.mac.com/vvaidy/download/past/docs/

- VV
====


> 
> http://r-forge.r-project.org/projects/blotter/
> 
> regards,
> daniel
> 
> 2010/6/20 Nick Torenvliet <nick.torenvliet@gmail.com>:
>> My short term goal is to put together enough tools to investigate
>> algorithmic trading strategies -- everything I've read about and more.
>> 
>> Long term goal is to put, short, long, call, swap and iterate gracefully :-)
>> 
>> So at this point I have the following in hand:
>> 
>> - End of day data for virtually anything I want to take a look at via
>> www.eoddata.com and some code I wrote that can be found at
>> http://code.google.com/p/quantkit/ (warning ... developed plugging his
>> work... if you are interested and can't figure out how to build the svn
>> checkout let me know I'd be more than happy to assist)
>> - Intraday data for specific contracts I want to drill down on using the R
>> package IBrokers -- (thanks Jeff)
>> - As much graphing and technical indicators as I could want using R package
>> quantmod -- (thanks again Jeff)
>> - Trade initiation via activequant or IBrokers (thanks Ulrich), or just
>> using the IB api straight up.
>> - Some business media text mining capability using more stuff at the link
>> above and the R package tm (thanks Ingo)
>> 
>> I am now looking at trying my hand at backtesting.  I've looked at
>> activequant and I like it a lot, however that being said at this point I'd
>> be into a command line tool based in R that would allow me to set up a time
>> series block and run functions against it as fast as I can type them.
>> 
>> Which bring me back to something in R -- I know Ulrich is putting together
>> some R/activequant backtesting functionality and I know quantmod and
>> backtest are two R packages that can support backtesting.
>> 
>> Two questions... am I missing any options for backtesting in R AND is anyone
>> willing to share the benefit of experience, or make recomendations, with
>> regards to these packages...
>> 
>> Regards and enjoy this absolutely beautiful weekend - it is time to find a
>> patio somewhere!!
>> 
>> Nick
>> 
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>> 
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