Do you use R for backtesting?

Discussion in 'Automated Trading' started by pisco, Dec 25, 2013.

  1. does anyone have any recommendations for learning R for data analysis purposes for trading strategies for someone with no programming experience?
     
    #11     Jan 18, 2014
  2. there are people who do and packages for this (search r seek for quant/finance/etc), although for the most part they trade using daily data.

    for larger volume stuff for the most part you're better off doing analysis of backtesting results or signals in R.
     
    #13     Jan 30, 2014
  3. spacewiz

    spacewiz

    You can implement event-driven back testing in Java and still use R to perform statistical/math calculations. There is a pretty good integration library between Java and R, so no need to compromise...

    If someone need technical help with this - PM me.
     
    #14     Feb 21, 2014

  4. I am primarily using R at this point. Mainly because I am still investigating/discovering my 'system'.
    R allows me to quickly cycle through ideas without having to be bogged down in technicalities.
    As far as backtesting, I pretty much wrote my own. The R packages I use are only mathematical ones particularly related to the 'edge creation' part and not to the backtesting part.
     
    #15     Feb 21, 2014