Backtesting with R

P

pisco

Hello guys,

Any recommendations for tutorials/threads how to implement a backtest in R?

I really appreciate your answer!

PS.: Please also share your experience if you have tried it before would love to hear your opinion about backtesting in R!
 
Hey there.

R is my main (only) programming language, so I use it religiously.

The library I use is called quantstrat, and it's written by a quant who's an algo-trading partner at DV Trading (a Chicago/Toronto firm).

Long story short, there's a metric ton of depth to it, and it's highly general, with lots of levers to pull.

Look for the R/Finance 2013 quantstrat pdf to get started.
 
I use R with a MS Access database for backtesting and trade generation. It's quite a learning curve and work to get things setup but once setup I am quite happy with it since a few years. Certainly feel more confident with the results than my old Excel setup which was always very error prone.
 
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