Backtest trading strategies
Hello, I understand the utility of MySQL for data storage. But why is Python essential? What does it do that R can't do for system creation/calculation? Thanks
From: BBands <bbands@gmail.com> Reply-To: BBands <bbands@gmail.com> To: Neuro LeSuperH?ros <neuro3000@hotmail.com>, r-sig-finance@stat.math.ethz.ch Subject: Re: [R-sig-finance] Backtest trading strategies Date: Mon, 23 May 2005 10:18:52 -0700 On 5/21/05, Neuro LeSuperH?ros <neuro3000@hotmail.com> wrote:
Has anybody ever implemented a trading strategies backtest program on R?
Or
succesfully linked R to an existing backtest software? I'd like to know
what
has been/can be done.
This is an area we have explored quite a bit. We took the approach of using several tools, each for its own strengths. MySQL for data storage and retrieval, Python for system creation/calculation, R for results analysis and gnuplot for visual display. This has proved to be a very powerful nexus and is the thrust of the Crusher project. Here are the links to the tools we use. All open source! http://www.python.org/ http://www.gnuplot.info/ http://gnuplot-py.sourceforge.net/ http://www.mysql.com/ http://sourceforge.net/projects/mysql-python http://www.r-project.org/ http://rpy.sourceforge.net/ jab -- John Bollinger, CFA, CMT www.BollingerBands.com If you advance far enough, you arrive at the beginning.