I've just downloaded quantstrat and try to run demo(faber) and it has some
warnings.

I had 16 warnings that read something like this:
Warning messages:
1: In rm("account.faber", "portfolio.faber", pos = .blotter) :
  object 'account.faber' not found
2: In rm("account.faber", "portfolio.faber", pos = .blotter) :
  object 'portfolio.faber' not found
3: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'ltaccount' not found
4: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'ltportfolio' not found
5: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'ClosePrice' not found
6: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'CurrentDate' not found
7: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'equity' not found
8: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'GSPC' not found
9: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'stratFaber' not found
10: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'initDate' not found
11: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'initEq' not found
12: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'Posn' not found
13: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'UnitSize' not found
14: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate",  ... :
  object 'verbose' not found
15: In rm("order_book.faber", pos = .strategy) :
  object 'order_book.faber' not found
16: In max(i) : no non-missing arguments to max; returning -Inf


Since you are one of the developers, I assumed you would be appropriate
person to send this to.


On Mon, Nov 29, 2010 at 10:59 PM, Aaditya Nanduri <aaditya.nanduri@gmail.com
> wrote:

> Thank you Mr. Kane and Mr. Ulrich
>
> And Im an avid follower of FOSS. Its just that your example for TAA
> contains everything necessary; I would like to start blind first.
>
> I believe that learning from one's mistakes is the best way to start. It
> leaves the strongest impression. After I've exhausted my ideas, I will look
> at the post you made on TAA, Sir. I have it bookmarked.
>
> Im downloading the packages quantstrat and blotter from the r-forge site
> for further help.
>
> On Mon, Nov 29, 2010 at 10:37 PM, Joshua Ulrich <josh.m.ulrich@gmail.com>wrote:
>
>> Hi Aaditya,
>>
>> On Mon, Nov 29, 2010 at 9:58 PM, Aaditya Nanduri
>> <aaditya.nanduri@gmail.com> wrote:
>> > Hello All,
>> >
>> > This is a rather general question about backtesting : How is it done?
>> > (People of my age would usually write "lol" immediately after that
>> question)
>> >
>> > My current situation (Im a beginner at this):
>> >
>> > I'm working on a variation of the TAA strategy that was written by Mr.
>> Faber
>> > and while its simple enough, I have no idea how to backtest.
>> >
>> > This is what I think is backtesting:
>> >  - Must be a walk-forward (or decisions must only be based on events
>> already
>> > happened)
>> >  - Must return a set of entry points and exit points
>> >  - Must take some initial amount of money and provide PL of each
>> open/close
>> > and a running PL
>> >  - Overall percentage increase during holding period (monthly, in my
>> case)
>> >  - Volatility (SD of price-movement or SD of percentage change in each
>> > month?)
>> >  - Sharpe
>> >
>> >
>> > Is this usually done in a function? a loop? provided in a package? (I
>> looked
>> > at backtest but I have no idea what that does. Im still reading up on
>> it)
>> >
>> > I know this is a lot to ask but can anyone show me an example?
>> >
>> There are several examples in the quantstrat and blotter packages.
>> There are examples of other strategies as well, but those three
>> replicate Faber.  I would recommend you stick with quantstrat, since
>> it will help you test strategies (blotter is more infrastructure).
>> Try:
>> library(quantstrat)
>> demo(faber)  # quantstrat demo
>> demo(faberMC)   # quantstrat demo
>> demo(longtrend)  # blotter demo
>>
>> And there are some other examples that perform simple backtesting
>> without using any package <shameless plug>on my blog</shameless plug>.
>>
>> Best,
>> --
>> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>>
>>
>> > I sincerely appreciate all the help anyone provides.
>> >
>> >
>> > --
>> > Aaditya Nanduri
>> > aaditya.nanduri@gmail.com
>> >
>> >        [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
>> > R-SIG-Finance@r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions
>> should go.
>> >
>>
>
>
>
> --
> Aaditya Nanduri
> aaditya.nanduri@gmail.com
>
>


-- 
Aaditya Nanduri
aaditya.nanduri@gmail.com

	[[alternative HTML version deleted]]

