Hello guys, Any recommendations for tutorials/threads how to implement a backtest in R? I really appreciate your answer! PS.: Please also share your experience if you have tried it before would love to hear your opinion about backtesting in R!
Hey there. R is my main (only) programming language, so I use it religiously. The library I use is called quantstrat, and it's written by a quant who's an algo-trading partner at DV Trading (a Chicago/Toronto firm). Long story short, there's a metric ton of depth to it, and it's highly general, with lots of levers to pull. Look for the R/Finance 2013 quantstrat pdf to get started.
I use R with a MS Access database for backtesting and trade generation. It's quite a learning curve and work to get things setup but once setup I am quite happy with it since a few years. Certainly feel more confident with the results than my old Excel setup which was always very error prone.