Testing technical indicators
The working paper "Random portfolios for evaluating trading strategies" on the Burns Statistics website may be of interest to you. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")
Jonathan Patton wrote:
I am a programmer and have downloaded and installed R and the fExtremes package. I am trying to test various ideas that I have about the stock market. I've looked through the function reference inside rMetrics and there looks to be a lot of useful functions there. I'm having trouble though finding examples similar to what I would like to do. Initially, I would like to test a 5 and 10 day moving average crossover system to see if there is any correlation between the 5 day moving average crossing the 10 day moving average. I'm just looking for some general direction to get started. I would like to know if this type of analysis is possible to begin with and then go from there. R looks great and very powerful. I've written a small program in vb to do some of this but was getting stuck when it came to backtesting.
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