Quantstrat/PA does that too.

On Wed, Sep 12, 2012 at 11:37 AM, Dave <miniflowtrader@gmail.com> wrote:

> Thanks for the pointers.
>
> Apparently quantstrat and PerformanceAnalytics seem to be used a lot.  I
> don't see anything that is specific to their intraday reporting
> capabilities.
>
> Will experiment.
>
> -----Original Message-----
> From: Brian G. Peterson [mailto:brian@braverock.com]
> Sent: Wednesday, September 12, 2012 10:37 AM
> To: Dave
> Cc: r-sig-finance@r-project.org
> Subject: Re: [R-SIG-Finance] Backtesting Suite which can show profit/loss
> by
> time (drilldown by N time intervals)
>
> On 09/12/2012 09:18 AM, Dave wrote:
> > I'm looking for a backtesting package in R that can report profit/loss
> > for a trading system by intraday time intervals.
> <...>
> > Does anything currently exist which has the ability to output this
> > information?
>
> Yes.
>
> Please follow the posting guide[1] and good netiquette[2]; kindly search
> before posting and demonstrate that you've put in some effort.
>
> Searching rseek.org for 'transaction profit and loss' in the 'support
> lists'
> tab should amply answer your question.
>
> Also, Pat Burns previously posted a blog entry on searching for information
> in R[2] and Paul Teetor covers it well in the R Cookbook [3]
>
> Regards,
>
>     - Brian
>
> Ref:
> [1] Posting Guide
> http://www.r-project.org/posting-guide.html
>
> [2] How To Ask Questions The Smart Way
> http://www.catb.org/esr/faqs/smart-questions.html
>
> [3] How to search the R-sig-finance archives
>
> http://www.portfolioprobe.com/2012/01/19/how-to-search-the-r-sig-finance-arc
> hives/
>
> [4] R Cookbook
> http://www.amazon.com/Cookbook-OReilly-Cookbooks-Paul-Teetor/dp/0596809158
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
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> -- Also note that this is not the r-help list where general R questions
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>

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