Backtest trading strategies

Much as I love R, I had occasion to contemplate its limitations vis-?-vis Python this weekend, when I had to scrape brutally malformed HTML and actually found it to be fairly painless thanks to BeautifulSoup (http://www.crummy.com/software/BeautifulSoup/). Reading through the neat code (a mere 1000 lines with comments), it seemed pretty clear that the R equivalent would be much more cumbersome (just the OO aspect would be hard to replicate,

not to mention the libraries BeautifulSoup can count on). But thanks to Rpy (http://rpy.sourceforge.net/), one can have the best of all worlds! Use Python for general programming tasks and take advantage of existing libraries, use R for data analysis and visualisation, and have everything on the same page for maintainability and clarity.

From a maintainability viewpoint having everything in one language would

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of
Gabor Grothendieck
Sent: Saturday, November 26, 2005 8:14 AM
To: paul sorenson
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-sig-finance] Backtest trading strategies

On 11/26/05, paul sorenson <sourceforge at metrak.com> wrote:

Gabor Grothendieck wrote:

On 11/26/05, Rob Steele <rfin.20.phftt at xoxy.net> wrote:

Neuro LeSuperH?ros wrote:

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

Python is great for parsing data from wherever you get it and
populating databases.  MySQL is ideal for the
write-once-read-thereafter scenario that research

implies.  You can

use R for the initial data marshaling if you'd rather not learn
another language but Python seems like a better fit for

that sort of

thing.  It's a scripting language that integrates more naturally
into its host environment.  For analysis and

visualization however, R absolutely rules.

I don't use MySQL so won't comment on that part but for

parsing data

I have found R to have everything I need.  I used to use perl
but now use R exclusively.    R's string manipulation includes
regular expressions and the vector processing often simplifies
string manipulation by eliminating loops over lines or vectors of
strings.

To me its much easier to maintain code if its all in one language
and moving to R has enabled me to replace a bunch of perl, batch
files and other statistical software with R which really

helps clean

it all up.  (Actually I still have some Windows batch files, see
http://cran.r-project.org/contrib/extra/batchfiles/, but they are
only for generic configuration utilities and nothing

specific to any

application.)

Each to their own I guess.  I happen to be much more familiar with
Python than R and often use it to grab data in various

formats which R

won't read.  I wouldn't dream of using an MSDOS batch file.  As I
learn more about R, I tend to do more in it but I couldn't imagine
myself parsing dodgy HTML, for example, with it.

Actually I use R for parsing HTML and for parsing XML too.  I
do agree by Rob that it would be nice if R worked better with
shells and also wish I could write small self contained
executables in R like one can in tcl and Python.