So you want us to deliver an entire backtesting architecture for you? That's a pretty hefty request...
But being R, it's already been done. This has all basically been made available in the quantstrat project (google it) -- the documentation is online and you can see lots of worked examples in the R-SIG-Finance archives. The PerformanceAnalytics package can also help with your plotting needs. Michael On Fri, Apr 6, 2012 at 11:19 PM, sysot1t <syso...@gmail.com> wrote: > newbie to R, less than a week, and I ordered some books about R, but I learn > better by examples.. and thus far I cant find a good example of what I am > trying to do... which follows: > > assuming one is using any instrument intra-day data... I want to.. > > open a file (lets name it signal) that will contain two fields... > date/time(MM/DD/YYYY HH:MM) and signal (1=buy,-1=sell) > open a file with real time data for instrument (I cant find anything that > will let me access intra-day online directly from someone like IQFeed or > eSignal) the content of the file will look as follows: > > "Date","Time","Open","High","Low","Close","Volume" > 05/16/2007,10:15,74.800,74.850,74.550,74.725,123 > 05/16/2007,10:16,74.700,74.700,74.600,74.625,33 > 05/16/2007,10:17,74.675,74.725,74.600,74.600,21 > > I would like to be able to determine the start and end of the period to > test, and verify that signals exist within that period or assume the signals > are 0... for no trades.. > > then I would like to basically process the signal file.. and at the time of > the "signal" whenever I see -1 then sell instrument, if I see 1, then buy > it... to determine the buy price, I would like to make sure the signal time > coincides with the intraday data time.. and then either buy/sell the next > minute open... then given a set of variables (target, stop) I would > basically either sell at target or stop... the other thought is to buy/sell > after X number of target/stop bars.. also, if an opposite signal is > processed before target/stop are reached, the position would immediately > reverse... > > the above assumes 1 minute bars for simplicity.... > > to view the results, I want to then chart the chart candles and the signals > on the chart... with the P&L below the chart... assuming a starting > portfolio of X size, where X is a variable set to 0.00... > > any assistance at all would be greatly appreciated... if you can, please > document any code tidbits to assist with my learning process... > > thanks! > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/newbie-question-strategy-tp4538818p4538818.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
