newbie to R, less than a week, and I ordered some books about R, but I learn better by examples.. and thus far I cant find a good example of what I am trying to do... which follows: assuming one is using any instrument intra-day data... I want to.. open a file (lets name it signal) that will contain two fields... date/time(MM/DD/YYYY HH:MM) and signal (1=buy,-1=sell) open a file with real time data for instrument (I cant find anything that will let me access intra-day online directly from someone like IQFeed or eSignal) the content of the file will look as follows: "Date","Time","Open","High","Low","Close","Volume" 05/16/2007,10:15,74.800,74.850,74.550,74.725,123 05/16/2007,10:16,74.700,74.700,74.600,74.625,33 05/16/2007,10:17,74.675,74.725,74.600,74.600,21 I would like to be able to determine the start and end of the period to test, and verify that signals exist within that period or assume the signals are 0... for no trades.. then I would like to basically process the signal file.. and at the time of the "signal" whenever I see -1 then sell instrument, if I see 1, then buy it... to determine the buy price, I would like to make sure the signal time coincides with the intraday data time.. and then either buy/sell the next minute open... then given a set of variables (target, stop) I would basically either sell at target or stop... the other thought is to buy/sell after X number of target/stop bars.. also, if an opposite signal is processed before target/stop are reached, the position would immediately reverse... the above assumes 1 minute bars for simplicity.... to view the results, I want to then chart the chart candles and the signals on the chart... with the P&L below the chart... assuming a starting portfolio of X size, where X is a variable set to 0.00... any assistance at all would be greatly appreciated... if you can, please document any code tidbits to assist with my learning process... thanks! -- View this message in context: http://r.789695.n4.nabble.com/newbie-question-strategy-tp4538818p4538818.html Sent from the R help mailing list archive at Nabble.com.
So you want us to deliver an entire backtesting architecture for you? That's a pretty hefty request... But being R, it's already been done. This has all basically been made available in the quantstrat project (google it) -- the documentation is online and you can see lots of worked examples in the R-SIG-Finance archives. The PerformanceAnalytics package can also help with your plotting needs. Michael On Fri, Apr 6, 2012 at 11:19 PM, sysot1t <sysot1t at gmail.com> wrote:> newbie to R, less than a week, and I ordered some books about R, but I learn > better by examples.. and thus far I cant find a good example of what I am > trying to do... which follows: > > assuming one is using any instrument intra-day data... I want to.. > > open a file (lets name it signal) that will contain two fields... > date/time(MM/DD/YYYY HH:MM) and signal (1=buy,-1=sell) > open a file with real time data for instrument (I cant find anything that > will let me access intra-day online directly from someone like IQFeed or > eSignal) the content of the file will look as follows: > > "Date","Time","Open","High","Low","Close","Volume" > 05/16/2007,10:15,74.800,74.850,74.550,74.725,123 > 05/16/2007,10:16,74.700,74.700,74.600,74.625,33 > 05/16/2007,10:17,74.675,74.725,74.600,74.600,21 > > I would like to be able to determine the start and end of the period to > test, and verify that signals exist within that period or assume the signals > are 0... for no trades.. > > then I would like to basically process the signal file.. and at the time of > the "signal" whenever I see -1 then sell instrument, if I see 1, then buy > it... to determine the buy price, I would like to make sure the signal time > coincides with the intraday data time.. and then either buy/sell the next > minute open... then given a set of variables (target, stop) I would > basically either sell at target or stop... the other thought is to buy/sell > after X number of target/stop bars.. also, if an opposite signal is > processed before target/stop are reached, the position would immediately > reverse... > > the above assumes 1 minute bars for simplicity.... > > to view the results, I want to then chart the chart candles and the signals > on the chart... with the P&L below the chart... assuming a starting > portfolio of X size, where X is a variable set to 0.00... > > any assistance at all would be greatly appreciated... if you can, please > document any code tidbits to assist with my learning process... > > thanks! > > > > -- > View this message in context: http://r.789695.n4.nabble.com/newbie-question-strategy-tp4538818p4538818.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.
I am not asking anyone to deliver anything, to the best of my understanding all that I requested in terms of functionality is more than likely done in quantstrat as you point out. Issues is: quantstrat has extremely poor documentation. Yes, there are "samples", but they are certainly not simple and they are more focused on daily data, vs. intraday... note that I dont mention high frequency given that I am not interested on bringing tick data into R, but rather simple minute bars... yes, I can always aggregate tick and create the minutes from it.. but I would assume that I am not the only one using intraday(minute bars) and that someone has already done it... btw, the archives are littered with requests for information, met with answers similar to yours pointing to the documentation... I guess one has to figure things out oneself or approach an actual expert on R to request assistance... oh well... thanks for all the replies and the prompt assistance. -- View this message in context: http://r.789695.n4.nabble.com/newbie-question-strategy-tp4538818p4540267.html Sent from the R help mailing list archive at Nabble.com.