Hi Pierre,



--
comnect on xing or linkedin. am on an ipad.

On 16.03.2012, at 21:35, Pierre-Alexandre <p.desmazis@gmail.com> wrote:



In the end I was thinking about back testing in R and then recoding the
strategies in another more structured and fast Langage like java for
execution.

But I think it is time consuming and it is a very bad idea  to recode your
backtest in the end because it is going to create many discrepancies and
errors.



these discrepancies areveasy to tackle if you proceed in a structur
approach. unit tests are your friend. nonetheless, the effort you put into
porting a strategy from a prototyping env to a production env should be
justified. i personally do not see the point in porting a strategy that
calculates new positions once a day and generates a list of, say five,
orders to java.

and lets say it right away. if your system needs java, it should for sure
make enough cash to justify the effort. and if it does, you should port it.
particularly buzzword high freq trading strategies fall into this domain.
etc.


regards,
ulrich

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