The crux is that R is slow at everything except vectorized operations. So, if you're modeling any kind of backtest on an event-based/looping architecture, it's not the correct way to approach the problem in R. That said, vectorizing everything is definitely not convenient. In my opinion, if you're using R for anything other than an exploratory environment, chances are you know what you're doing and can offload any heavy computation to C++ (or pick your lang here), or you're just going to be miserable.
Absolutely agree. But you should be careful, some of the R core crowd are extremely hostile and aggressive to the slightest criticism of R. You should read some of the discussions that arose about a comparison between Python and R at Stackexchange's Quant finance forum.
"What programming language should I use..." questions are explicitly discouraged at SE... but for better or worse ET's rules are looser.
Yes, good point. I came to the conclusion that to properly apply R I need to figure out how to vectorize my signal generator functions. This is the next thing I will be looking into.
https://quantstrattrader.wordpress.com/2014/09/09/nuts-and-bolts-of-quantstrat-part-i/ Look at TTR package.... As well come into the r-finance chat on freenode irc and get help.. The main contributors to R hang out there plus alot of avid users... I won't argue against using other languages...I just prefer it
Indeed. I was not suggesting to post language comparison questions there...not sure why you brought up this issue. I pointed out a place where there are plenty R developers and they apparently do not take criticism of R lightly. Almost in a cute way.