Hello everyone,

I'm not sure if I'm doing the right thing by posting this here, but ok,
let's see what happens...

There is this package on R-Forge called "Tradesys" which can be used to
model/backtest trading systems.
The package is written by Robert Sams and I think it's quite brilliant. It's
fast, generic and extremely compact. It separates the calculation engine
from the system to be calculated perfectly, supports flexible leveraging
schemes, rolling of futures, and the results it produces can easily be the
basis of more complex statistical analysis with other packages.

The package is almost complete I think, but not quite yet. What I think is
missing is the ability to specify a "Universe of instruments" the trading
system can choose from instead of just one instrument. I also would like the
ability to produce log-returns instead of plain pnl and/or ror. Maybe there
are some other omissions, but I have encountered none so far.

I tried to extend the package for these omissions myself but the source code
of the package is, well, .... "advanced R". The calculation engine is based
on what I can best describe as "binary vector magic"
(absolutely beautiful!), and the trading system specified by the user is
stored as a collection of expressions and provided (price) data. It uses
what I can best describe as "delayed execution" of the expressions to
produce the results. In fact the R code is so advanced that it's out of my
league. This is a whole different level of R programming...for me.

Off course I have already tried to contact the author for some help
extending the package, but sadly there is no response. I don't know if the
author is not interested in the package anymore, or if it's just a lack of
time or something else.

Now I don't know if I'm the only one using this package (sometimes I get
that impression as it's never mentioned on this list), but I was wondering
if others (ideally with more advanced R programming skills than me) are
interested in helping out to try to extend this beautiful package?

Kind regards,

-Mark-

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