search for: backtesting

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'

Hello, I'm trying to understand how to use the pbo package by looking at a vignette. I'm curious about a part of the vignette that creates simulated returns data. The package author transforms his simulated returns in a way that I'm unfamiliar with, and that I haven't been able to find an explanation for after searching around. I'm curious if I need to replicate the

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

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

Hi Joe, The centering and re-scaling is done for the purposes of his example, and also to be consistent with his definition of the sharpe function. In particular, note that the sharpe function has the rf (riskfree) parameter with a default value of .03/252 i.e. an ANNUAL 3% rate converted to a DAILY rate, expressed in decimal. That means that the other argument to this function, x, should be DAILY

Wrong list. Post on r-sig-finance instead. Cheers, Bert On Nov 20, 2017 11:25 PM, "Joe O" <joerodonnell at gmail.com> wrote: Hello, I'm trying to understand how to use the pbo package by looking at a vignette. I'm curious about a part of the vignette that creates simulated returns data. The package author transforms his simulated returns in a way that I'm

[re-sending - previous email went out by accident before complete] Hi Joe, The centering and re-scaling is done for the purposes of his example, and also to be consistent with his definition of the sharpe function. In particular, note that the sharpe function has the rf (riskfree) parameter with a default value of .03/252 i.e. an ANNUAL 3% rate converted to a DAILY rate, expressed in decimal. That

...se column returned by Alpha Vantage #Adjust all data for splits, and split-adjusted dividends (I think) AAPL_a <- adjustOHLC(AAPL, use.Adjusted = TRUE) head(AAPL_a) ### Two questions: -1. Am I interpreting these adjustments correctly? -2. What adjustment method minimizes the difference between backtesting and live-trading? p.s., I expect there is no "correct" method for adjusting data. I'm curious if there is a "best-practice" or norm that is used. I'm curious if there is a method which minimizes the difference between backtesting and live-trading. Thanks you, -Joe [[a...

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

...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}}

...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}} > > ______________________________________________ >...

Dear all, version 1.0-1 of package PMwR is on CRAN now. PMwR stands for 'Portfolio Management with R', and the package provides tools for the practical management of financial portfolios: backtesting investment and trading strategies, computing profit/loss and returns, analysing trades, handling lists of transactions, reporting, and more. The manual [1] provides all the details; a tutorial on backtesting with the package is available on SSRN [2]. Comments/corrections/remarks/suggestions are v...

Dear all, version 1.0-1 of package PMwR is on CRAN now. PMwR stands for 'Portfolio Management with R', and the package provides tools for the practical management of financial portfolios: backtesting investment and trading strategies, computing profit/loss and returns, analysing trades, handling lists of transactions, reporting, and more. The manual [1] provides all the details; a tutorial on backtesting with the package is available on SSRN [2]. Comments/corrections/remarks/suggestions are v...

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 '...

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]]

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)) : argument "column" is missing, with no default please can

*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 would...

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]]

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() formula? Thanks for your help. [[alternative HTML version deleted]]

...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 wa...