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Connecting R to existing backtest platforms?
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Connecting R to existing backtest platforms?

  #1 (permalink)
Trading Apprentice
NY
 
Futures Experience: Intermediate
Platform: Matlab
 
Posts: 3 since Jun 2010
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Connecting R to existing backtest platforms?

Hi all,

It looks like R lacks of a good time series interactive viewer...

I am thinking of connecting R to some (existing) backtest platforms so that time series can be visualized in those platforms...

I am thinking of Multi-charts or Trade-station... etc.

What's the best way to do this?

Any thoughts? Please shed some lights!

Thanks a lot!

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Los Angeles
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Options
 
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You can find a lot of what you are looking for in the quantstrat and quantmod packages.

See here for presentations

Presentations - home

Packages here

R-Forge: TradeAnalytics: R Development Page

quantmod: Quantitative Financial Modelling Framework

New package out for Pairs Trading
CRAN - Package PairTrading

Great blogs on trading/analysis in R

FOSS Trading
Quantitative thoughts
Systematic Investor
DataPunks.com | Data Science without noise
Blog | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics
Timely Portfolio

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  #4 (permalink)
Elite Member
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Favorite Futures: Options
 
Posts: 3 since Jan 2012
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I would also recommend looking at the R-CRAN task views on finance and econometrics

CRAN Task View: Computational Econometrics

CRAN Task View: Empirical Finance

In particular, another package to check out is Rmetrics

https://wiki.rmetrics.org/

The Rmetrics suite of packages comprises fAsianOptions, fAssets, fBasics, fBonds, timeDate (formerly: fCalendar), fCopulae, fEcofin, fExoticOptions, fExtremes, fGarch, fImport,fMultivar, fNonlinear, fOptions, fPortfolio, fRegression, timeSeries (formerly: fSeries), fTrading, fUnitRoots and contains a very large number of relevant functions for different aspect of empirical and computational finance.

The RQuantLib package provides several option-pricing functions as well as some fixed-income functionality from the QuantLib project to R.

The quantmod package offers a number of functions for quantitative modelling in finance as well as data acqusition, plotting and other utilities.

The portfolio package contains classes for equity portfolio management; the portfolioSim builds a related simulation framework. The backtest offers tools to explore portfolio-based hypotheses about financial instruments. The stockPortfolio packages provides functions for single index, constant correlation and multigroup models.

The PerformanceAnalytics package contains a large number of functions for portfolio performance calculations and risk management.

The TTR contains functions to construct technical trading rules in R. The ttrTests package contains several test statistics for assessing the efficacy of such rules.

The NMOF package provides functions, examples and data from Numerical Methods in Finance by Manfred Gilli, Dietmar Maringer and Enrico Schumann (2011), including the different optimization heuristics such as Differential Evolution, Genetic Algorithms, Particle Swarms, and Threshold Accepting.

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  #5 (permalink)
Elite Member
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You can also connect R to amibroker:

R Plug-In Amibroker

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  #6 (permalink)
Elite Member
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Yeah, totally forgot there is a package that connects to Interactive Brokers

CRAN - Package IBrokers

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  #7 (permalink)
Trading Apprentice
Rome - Italy
 
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Posts: 9 since Dec 2012
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R

If is not mandatory to connect with such a platform, keep in mind that there are good R packages to perform backtests.

My preferred is "blotter", which tracks all transactions in an account and gives good reports.

The main problem with it is that it is slow...

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