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The crux is that R is slow at everything except vectorized operations. So, if you're modeling any kind of backtest on an event-based/looping architecture, it's not the correct way to approach the problem in R. That said, vectorizing everything is definitely not convenient. In my opinion, if...

R is perfectly capable. When something is slow, just use Rcpp. Check the https://cran.r-project.org/web/views/HighPerformanceComputing.html list for everything that's available.