Message-ID: <200901211454.26423.peter@braverock.com>
Date: 2009-01-21T20:54:26Z
From: Peter Carl
Subject: Any suitable backtest functions?
In-Reply-To: <D6C62E2A-3DEE-4766-BCB2-61AD56BEF850@MyEmailForever.com>
I'd be very interested in PAST. I'm glad to see you're finding
PerformanceAnalytics useful, too... Any feedback you might have on that front
would be very welcome.
My co-author, Brian Peterson, and Jeffrey Ryan (of xts fame) have all put our
heads together on a trade simulation package called 'blotter', which you can
find on r-forge.r-project.org. It takes the opposite approach to PAST - using
instruments, transactions, P&L, and portfolios - but at some point I'd love to
combine both approaches (weights/returns and instruments/transactions) into a
uniform interface. blotter is very incomplete at the moment, but we're making
slow progress.
pcc
On Wednesday 21 January 2009 1:36:35 pm Vijay Vaidyanathan wrote:
> On Jan 21, 2009, at 9:08 AM, R at Nabble wrote:
> > After learning from replies of the list, I think maybe I shoud not use
> > 'backtest' here.
>
> I don't know if this will help, but one approach to portfolio
> simulation is: to assemble portfolios at regular intervals in time by
> using a certain selection criterion, and then simulate the behaviour
> of that portfolio over time. Youi'll need to specify how to weight
> the portfolio and how long to revisit the weighting and reselection
> decisions etc. This is the model that is used in a number of academic
> studies.
>
> A couple of years ago, I implemented this model, and wrote a
> portfolio simulation package in R. I called it PAST, (Portfolio
> Attribution and Simulation Toolkit) and it was designed to be
> database independent. Unfortunately, it isn't in CRAN yet, but I've
> spent the last couple of months cleaning it up and bundling it as an
> R package.
>
> The major outstanding issue is that It still lacks decent
> documentation, which I am working on and expect to get done in the
> next month or two, after which I hope to submit it to CRAN. In the
> meanwhile, if you can't wait for a month or so, just drop me an email
> message off-list and, I'll send you a link to it on the web so you
> can play with it.
>
> Also, if you are in the San Francisco Bay Area, I believe that Dave
> Stewart will be giving a talk at the monthly meeting of the Silicon
> Valley SI Pro User Group of the American Association of Individual
> Investors on Feb 2 (at the Saratoga Public Library, 6:30 pm). He'll
> talk about using the software, including helping you getting it
> installed and running some basic simulations. Unfortunately, I will
> be traveling and won't be at the meeting, but you'll be in good hands
> with Dave!
>
> - Vijay
> ======
>
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Peter Carl
145 Scottswood Rd
Riverside, IL 60546
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