QuantMod trading models docs?
Jeff, Thanks. Can I just install that over the top of the currently installed CRAN version? If so I'll give it a try today. If not then am I required to so a remove.packages first? 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. 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? Clearly I have a lot to study and since turtles now runs I can do that. Cheers, Mark 2009/10/12 Jeff Ryan <jeff.a.ryan at gmail.com>:
One comment on blotter and speed. The most recent CRAN version of xts doesn't handle repeated subsetting by time-class objects very efficiently. This is the primary cause of pain in the blotter you are trying (likely). The recent R-forge version of xts has had this corrected, and should represent something close to 60x better performance. HTH, Jeff 2009/10/12 Mark Knecht <markknecht at gmail.com>:
Hi Daniel, ? Thanks for your help. this morning I see that the Blotter package was once again available for download using the command below so I'm able to load it and run the turtles demo. (VERY slowly by the way!) ? Anyway, this is extremely helpful and fives me something to study to see if what I'd like to do is possible in R. Cheers, Mark 2009/10/11 Daniel Cegie?ka <daniel.cegielka at gmail.com>:
You can download and install this manually: http://r-forge.r-project.org/src/contrib/blotter_0.3.tar.gz unpack this and save as a zip file (if you have windows). copy this in to your R-work folder and: install.packages("blotter_0.3.zip",repos=NULL) best daniel W dniu 11 pa?dziernika 2009 16:42 u?ytkownik Mark Knecht <markknecht at gmail.com> napisa?:
Yes, that's the command on the blotter page, but it seems that the files have gone missing or something...
install.packages("blotter",repos="http://R-Forge.R-project.org")
Warning: unable to access index for repository http://R-Forge.R-project.org/bin/windows/contrib/2.9 Warning message: In getDependencies(pkgs, dependencies, available, lib) : ?package 'blotter' is not available
As I said earlier, if I go to the download link and try to download the Windows zip version it says there's nothing there. Same as this command is saying. I'll try again later. Maybe it's just having problems right now. Thanks, Mark 2009/10/11 Daniel Cegie?ka <daniel.cegielka at gmail.com>:
install.packages("blotter",repos="http://R-Forge.R-project.org")
regards
daniel
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-- Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com