Message: 1
Date: Mon, 3 Jul 2006 14:02:27 +0900
From: Manoj <manojsw at gmail.com>
Subject: [R-sig-Finance] Backtesting speed
To: "r-sig-finance at stat.math.ethz.ch"
<r-sig-finance at stat.math.ethz.ch>
Message-ID:
<829e6c8a0607022202r8e6c165v527847860ed9e368 at mail.gmail.com>
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Hello All,
Generally I do most of my back-test (basically running
correlation/regression analysis etc on a set of historical data) in R.
Siince I haven't done any similar analysis on any other
platform/language, I wonder If any of you out there has any experience
in conduting computation intensive back-tests in other langauges and
done some sort of statistics on the time taken to perform the
back-test in R as oppose to other langauges.
My hunch is that processing time shouldn't be *very* different
between R & other languages but then it's just a hunch. Can anybody
share/comment on there experience? Sorry for the open-ended nature of
the question.
Cheers
Manoj