
I do not know this package (so it could be brilliant) but I would go for quantstrat instead, seems more used / followed and hence less bug prone I guess



> Date: Fri, 9 Mar 2012 15:38:02 +0100
> From: sebastian.steins@gmail.com
> To: r-sig-finance@r-project.org
> Subject: [R-SIG-Finance] Anyone can help with backtesting?
> 
> Hi,
> 
> I am currently trying to think about some investment strategies which
> I want to backtest in R. So I found this toolbox as a great tool for
> doing so: http://systematicinvestor.wordpress.com/2011/11/25/introduction-to-backtesting-library-in-the-systematic-investor-toolbox/
> 
> However, since I am not that familiar with R and the way you create
> the strategies in code, I am a bit confused on how to implement my
> idea.
> 
> The idea is the following:
> 
> There are two basis modules of the portfolio, which should be weighted
> about 40:60. To keep things simple at first, think of those modules as
> of two strategies, the first one is the rotational trading strategy
> (ranked by low volatility)[A], the second one is basically the same
> strategy, but ranked by high performance[B].
> After one year there should be done something specifically. At the
> first day in any new year:
> - if the overall profit of module A and B is greater than 0, positions
> should be sold until the initial 4:6 ratio is reached again. The free
> capital should then be invested in an fixed income ETF.
> - if the overall profit of module A and B is less than 0, nothing
> should be done.
> - If there is any profit in the fixed income ETF, at the first day in
> any year positions in the ETF should be closed, the free capital
> should then be invested again in modules A, B according to their 4:6
> weights.
> 
> Can you give me any hints on how to implement such a thing, with the
> toolbox mentioned above or in any other way? At the moment I do not
> even know how to start.
> 
> 
> Thank you for your kind support!
> 
> 
> Sebastian
> 
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