I have developed a spread/strategy backtester, which takes a list of input
contracts and creates an N-dimensional output of spread combinations, performs
backtesting and outputs results.

Spread combinations are deduced by correlation & cointegration measures,
combined with graph reduction to create a manageable result set to backtest.



Its here:

http://www7.zippyshare.com/v/11292047/file.html
<http://www7.zippyshare.com/v/11292047/file.html>

Email me for the password (just to keep track of who is interested, so I can
decide if to tidy it up & comment it more in future).



The code relies upon my trade netting library:

http://www7.zippyshare.com/v/11292047/file.html
<http://www7.zippyshare.com/v/11292047/file.html>

(Only built for win64 - however if you email me I can supply source if you want
to build it yourself)



Please don't ask me how the code works, I haven't got time to comment it or give
support. If enough interest is shown - i.e people requesting password and
telling me they like it, then I will try and make an effort to tidy it up & get
it using the new parallel functions within latest R build.



Kind Regards,



Chris.


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