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TickData Backtesting in R
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TickData Backtesting in R

  #1 (permalink)
Trading Apprentice
Shanghai China
 
Futures Experience: Intermediate
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TickData Backtesting in R

Hello,all:

I'm new to R, I know that there is a package called quantmod which can perform some basic application in trading.

I just want to now that: until now, is this quantmod package be able to do tick data trading backtesting?

If yes, I'm planning using more time and effort to learn. If not, maybe just try to use an other platform.

Hope someone can answer.

Thanks

PS.
And I just check the website for quantmod...

in the "what's next", here is the information:

{ what's next }
June 10, 2008


In no particular order (unless someone tells me otherwise)
specify/build/tradeModel work - tradeLog, tradeRules, etc. to be added
Post-trade analysis work - charts and general tools
Multi-instrument visualization work Vignettes!
More high frequency testing - possibly tick data

So I guess we still can not do such backtesting in R....

Can anyone expericenced conform that?


Last edited by saji; May 17th, 2015 at 10:47 AM. Reason: add information
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  #3 (permalink)
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saji View Post
Hello,all:

I'm new to R, I know that there is a package called quantmod which can perform some basic application in trading.

I just want to now that: until now, is this quantmod package be able to do tick data trading backtesting?

If yes, I'm planning using more time and effort to learn. If not, maybe just try to use an other platform.

Hope someone can answer.

Thanks

PS.
And I just check the website for quantmod...

in the "what's next", here is the information:

{ what's next }
June 10, 2008


In no particular order (unless someone tells me otherwise)
specify/build/tradeModel work - tradeLog, tradeRules, etc. to be added
Post-trade analysis work - charts and general tools
Multi-instrument visualization work Vignettes!
More high frequency testing - possibly tick data

So I guess we still can not do such backtesting in R....

Can anyone expericenced conform that?

The website is not updated. Please check here instead.
CRAN - Package quantmod
https://github.com/joshuaulrich/quantmod

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