R Trade Simulation?

[doug reich]

There seem to be a few projects out there, all under heavy development, which assist in trade simulation.

In particular, I'm looking for something where I can give it tickers, and the trades made, and when, and it will track my capital and PnL. Preferably it will also allocate capital so I can give it relatives shares traded (I tell it, 1 of X and 2 of Y and then it goes and figures out that with $1mm that is actually 132 X and 264 Y to be fully invested).

The most likely candidate was Quantmod (for reasons my classmates probably know), but they seem to have a very immature system for this. Any alternatives you know of?

 

[alain]

there is a package in R called backtest I think. I don't know if it is really helpful for this.

 

[doug reich]

It may be possible to manipulate, but the doc make backtest seem like a pretty unsophisticated tool. If there's anything I've learned in this project so far, don't ever compute from daily returns; always compute your cost basis and capital evolution curve in "real" dollars and back out percent returns from there. In its defense, their approach may work in an academic setting, however.

 

[alain]

What are you backtesting? equities? futures? options? credit products?

 

[doug reich]

equities

 

[doug reich]

Look at this page, there is a repo of R finance libraries. There are a few on backtesting - still evaluating them.

http://cran.r-project.org/web/views/Finance.html