search for: backtest

Displaying 20 results from an estimated 39 matches for "backtest".

2007 Jul 26
1
R CMD check sh: line 1: make: command not found
hello, I am using R 2.5.0 under OS X. I am having " sh: line 1: make: command not found" error message when I run " R CMD check " : Any help would be appreciated. R CMD check backtest * checking for working latex ... OK * using log directory '/backtest/trunk/backtest.Rcheck' * using R version 2.5.0 (2007-04-23) * checking for file 'backtest/DESCRIPTION' ... OK * checking extension type ... Package * this is package 'backtest' version '0.2-0' * ch...
2017 Nov 21
0
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...cleaned up a bit to make it reproducible): (Full vignette: https://cran.r-project.org/web/packages/pbo/vignettes/pbo.html) library(pbo) #First, we assemble the trials into an NxT matrix where each column #represents a trial and each trial has the same length T. This example #is random data so the backtest should be overfit.` set.seed(765) n <- 100 t <- 2400 m <- data.frame(matrix(rnorm(n*t),nrow=t,ncol=n, dimnames=list(1:t,1:n)), check.names=FALSE) sr_base <- 0 mu_base <- sr_base/(252.0) sigma_base <- 1.00/(252.0)**0.5 for ( i in 1:n ) { m[,i] = m[,i] * s...
2017 Nov 21
0
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
Hi Eric, Thank you, that helps a lot. If I'm understanding correctly, if I?m wanting to use actual returns from backtests rather than simulated returns, I would need to make sure my risk-adjusted return measure, sharpe ratio in this case, matches up in scale with my returns (i.e. daily returns with daily sharpe, monthly with monthly, etc). And I wouldn?t need to transform returns like the simulated returns are in the...
2017 Nov 21
1
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
Correct Sent from my iPhone > On 21 Nov 2017, at 22:42, Joe O <joerodonnell at gmail.com> wrote: > > Hi Eric, > > Thank you, that helps a lot. If I'm understanding correctly, if I?m wanting to use actual returns from backtests rather than simulated returns, I would need to make sure my risk-adjusted return measure, sharpe ratio in this case, matches up in scale with my returns (i.e. daily returns with daily sharpe, monthly with monthly, etc). And I wouldn?t need to transform returns like the simulated returns are in the...
2017 Nov 21
0
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...le): > > (Full vignette: > https://cran.r-project.org/web/packages/pbo/vignettes/pbo.html) > > library(pbo) > #First, we assemble the trials into an NxT matrix where each column > #represents a trial and each trial has the same length T. This example > #is random data so the backtest should be overfit.` > > set.seed(765) > n <- 100 > t <- 2400 > m <- data.frame(matrix(rnorm(n*t),nrow=t,ncol=n, > dimnames=list(1:t,1:n)), check.names=FALSE) > > sr_base <- 0 > mu_base <- sr_base/(252.0) > sigma_base <- 1.00/(25...
2017 Nov 21
2
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...cleaned up a bit to make it reproducible): (Full vignette: https://cran.r-project.org/web/packages/pbo/vignettes/pbo.html) library(pbo) #First, we assemble the trials into an NxT matrix where each column #represents a trial and each trial has the same length T. This example #is random data so the backtest should be overfit.` set.seed(765) n <- 100 t <- 2400 m <- data.frame(matrix(rnorm(n*t),nrow=t,ncol=n, dimnames=list(1:t,1:n)), check.names=FALSE) sr_base <- 0 mu_base <- sr_base/(252.0) sigma_base <- 1.00/(252.0)**0.5 for ( i in 1:n ) { m[,i] = m[,i] * s...
2017 Nov 21
2
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...nette: >> https://cran.r-project.org/web/packages/pbo/vignettes/pbo.html) >> >> library(pbo) >> #First, we assemble the trials into an NxT matrix where each column >> #represents a trial and each trial has the same length T. This example >> #is random data so the backtest should be overfit.` >> >> set.seed(765) >> n <- 100 >> t <- 2400 >> m <- data.frame(matrix(rnorm(n*t),nrow=t,ncol=n, >> dimnames=list(1:t,1:n)), check.names=FALSE) >> >> sr_base <- 0 >> mu_base <- sr_base/(2...
2018 Mar 15
1
Adjusting OHCL data via quantmod
Hello, I'm trying to do two things: -1. Ensure that I understand how quantmod adjust's OHLC data -2. Determine how I ought to adjust my data. My overarching-goal is to adjust my OHLC data appropriately to minimize the difference between my backtest returns, and the returns I would get if I was trading for real (which I'll be doing shortly). Background: -1. I'm using Alpha Vantage's data, and quantmod's data adjustment tools. -2: I used Joshua Ulrich's DataCamp guidance ( https://campus.datacamp.com/courses/importing-and-m...
2012 Mar 14
1
Real-Time data transfer from Excel to R
Hi All I receive through DDE ,real time data from an external supplier on an Excel 2003 sheet. I use R as platform to make backtest trading and prepare trade. My question : Is existing a solution to transfer real-time data from Excel to R? Such transfer keeping the streaming condition. I don't intend to open an account to IB. And I don't want make backtest on Excel,using R as "calculator" Thanks for help...
2018 May 15
3
Forecasting tutorial "Basic Forecasting"
...nths of data, complete 2016 & 2017 but only 4 months in 2018 and my Tsp is a value of 12? If so how would I adjust? I have googled a few references for the error, but the solution is not clear to me. https://stackoverflow.com/questions/32369737/error-invalid-time-series-parameters-specified-in-backtesting-r-script http://r.789695.n4.nabble.com/How-to-setup-the-tsp-attribute-of-a-dataset-td908269.html Thanks for any advice. WHP Confidentiality Notice This message is sent from Zelis. ...{{dropped:15}}
2018 May 15
0
Forecasting tutorial "Basic Forecasting"
...complete 2016 & 2017 but only 4 months in 2018 and my Tsp is a value of 12? If so how would I adjust? > > I have googled a few references for the error, but the solution is not clear to me. > https://stackoverflow.com/questions/32369737/error-invalid-time-series-parameters-specified-in-backtesting-r-script > http://r.789695.n4.nabble.com/How-to-setup-the-tsp-attribute-of-a-dataset-td908269.html > > Thanks for any advice. > > WHP > > > Confidentiality Notice This message is sent from Zelis. ...{{dropped:15}} > > ______________________________________________ &...
2010 Jul 10
1
quantstrat and blotter unavailable
These packages were not available. Are these the only places to go for backtesting technical trading systems other than ttrTests pls? > install.packages("quantstrat", repos="http://R-Forge.R-project.org") Warning in install.packages("quantstrat", repos = " http://R-Forge.R-project.org") : argument 'lib' is missing: using &...
2011 Mar 28
1
portfolioBacktest in fPortfolio
Hello. I am trying to use the portfolio backtesting function in fPortfolio package, but I don't now why in my version of fPortfolio I don't have either the portfolioBactest nor the portfolioBacktesting functions. Does anybody knows what might be going on? thank you Felipe Parra [[alternative HTML version deleted]]
2011 Aug 31
0
QUANSTRAT: error with applySignal
hi everyone, I want to backtest a simple strategy with RSI, im using "sigThreshold". i took example from the http://blog.fosstrading.com/ site to understand how quanstrat works. but now, i have a problem with my code that i really don't understand, R says me: Error in match.names(column, colnames(data)) : arg...
2012 Nov 09
0
Chicago Based Trading Group Seeking Development Clerk
*Job Title: Trading Development Clerk Job Description: Assist development team with backtesting, debugging, creating, and deploying automated trading strategies. Clerk will work under a lead developer and several traders to provide support to traders in real time execution, in addition to the development staff with strategy creation, troubleshooting and deployment. The ideal candidate wou...
2013 Feb 13
1
R question
Hello, I have submitted a R question to stackoverflow and have not received an answer. Could anyone help me out? http://stackoverflow.com/questions/14825443/backtesting-accuracy-of-regression-model-through-rolling-window-regression-with Best regards, Pedro [[alternative HTML version deleted]]
2017 Jul 29
1
rugarch package: VaRTest()
Dear all, I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms. Do I have to use positive values for VaR in the VaRTest() formu...
2012 Apr 17
2
Manually reconstructing arima model from coefficients
...tted arima model to my time series like this (please ignore modeling parameters as they are not important now): x = scan("C:/data.txt") x = ts(x, start=1, frequency=1) x.fit<-arima(x, order = c(1,0,0), seasonal = list(order=c(0,0,1))) Now I want to use this model for forecasting and backtesting (!). My goal is to apply exactly this model to different data ? another time series object, let?s call it ?y?. How can I do this in R. One of the options is to extract coefficients and to create my own function that can be applied to any time series but I suspect and hope that there is a better...
2009 Apr 05
1
Time series forecasting
...4 20 7 21 5 22 8 23 7 24 15 25 11 26 3 27 4 28 6 29 8 30 4 31 ?? (a known) For backtesting of forecasting accuracy, I can use either a sliding window ( 1 - 30 to solve for 31, 2 - 31 to solve for 32, 3 - 32 to solve for 33, etc.) OR a cumulative window (1 - 30 to solve for 31, 1 - 31 to solve for 32, 1 - 32 to solve for 33, etc.), whichever works better. I can also supply different wi...
2008 Apr 08
1
Weibull maximum likelihood estimates for censored data
Hello! I have a matrix with data and a column indicating whether it is censored or not. Is there a way to apply weibull and exponential maximum likelihood estimation directly on the censored data, like in the paper: Backtesting Value-at-Risk: A Duration-Based Approach, P Chrisoffersen and D Pelletier (October 2003) page 8? The problem is that if I type out the code as below the likelihood ratio is greater than one. > Interest D C 1 17 1 2 10 0 3 15 0 4 2 0 5 42 0 6 53 0 7 193 0 8...