? To keep the email list smaller thanks for the pointer over the
weekend to the previous conversation on this topic. It's clear folks
have given this a great deal of thought and there are a number of
tools out there that address at least portions of the problem. that
should make for many hours of investigation on my part.
Usually does make things faster.
? Maybe it's just a terminology thing but I'm surprised that
backtesting - to me simply executing the model on a given data set and
collecting the results - should be considered so difficult. I would
have thought that would be relatively straight forward and maybe
optimization would be the real problem.
? In terms of and code I'd certainly be happy to share non-system
specific portions but please don't hold your breath. I'm not a
programmer so all of this stuff is a struggle and results come very
slowly. That said my original thought on this would have turned some
of what I see in blotter into something that looks a bit more like
EasyLanguage on TradeStation, but that's just so I can go back and
forth between R and TS. EL really only has 4 commands for buy/sell
operations:
Buy
Sell
SellShort
BuyToCover
and then adds the modifiers "market", "stop" o r limit" to specify the
way the order executes against price. I was going to focus on creating
some code to do that and see where it led me.
? I am a bit concerned reading through your thread that possibly I'm
going to have real trouble with tick data in R? I'm not working on
end-of-day stuff as I'm a day trader and am flat every night. (Deity
willing) My tick data is has date and time but isn't guaranteed unique
in that respect. Is there any reason you or others know of why xts or
zoo should not handle tick data?
Tick data should be no problem for xts or zoo. ?Many people use it for
that with good success. ?Uniqueness is an issue outside of the time
representation. ?You can always do something to make the timestamp
unique. ?The question is whether or not you should treat it as unique.
?Depends on what you are doing really.