How to backtest in R
You could start with the backtest package: http://cran.r-project.org/web/packages/backtest/index.html But there are many other possible approaches . . . Dave Kane On Mon, Nov 29, 2010 at 10:58 PM, Aaditya Nanduri
<aaditya.nanduri at gmail.com> wrote:
Hello All, This is a rather general question about backtesting : How is it done? (People of my age would usually write "lol" immediately after that question) My current situation (Im a beginner at this): I'm working on a variation of the TAA strategy that was written by Mr. Faber and while its simple enough, I have no idea how to backtest. This is what I think is backtesting: ?- Must be a walk-forward (or decisions must only be based on events already happened) ?- Must return a set of entry points and exit points ?- Must take some initial amount of money and provide PL of each open/close and a running PL ?- Overall percentage increase during holding period (monthly, in my case) ?- Volatility (SD of price-movement or SD of percentage change in each month?) ?- Sharpe Is this usually done in a function? a loop? provided in a package? (I looked at backtest but I have no idea what that does. Im still reading up on it) I know this is a lot to ask but can anyone show me an example? I sincerely appreciate all the help anyone provides. -- Aaditya Nanduri aaditya.nanduri at gmail.com ? ? ? ?[[alternative HTML version deleted]]
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