Greetings, Recently, I've been pushing more of my work into R. However, I feel like I'm missing out on some of the faster methods of doing things, which is why I turn to the people on this mailing list for help. Anyway, one thing I'd like to use R to do is to calculate the trailing returns of a set of about 60 trading rules (many are the same rule parameterized over various window lengths) for a list of about 250 asset pairs, such as SPY-IWM. I know it's a pretty general question, but is there any way you guys would approach doing this in R that would be a generalized, almost vectorized, approach? I'd rather not have to do a for loop type approach over each pair and each indicator, as I feel like that wouldn't be as fast as doing them en masse (if that's even possible). This is part of an analysis that I need to run daily so speed is definitely an issue. Oh, and I'm on Windows (Linux is not possible as others on the team I work with can't/won't/don't use it). I know this is a very general question, but even just some pointers as to what packages/approaches to check out would be very useful. I'm sure others on this list have had to deal with something similar. Thanks!
Calculating historical returns of a set of trade rules over multiple assets
1 message · Chuck