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Sanford,
I've used R but not for testing trading strategies. It is (more or less)
an environment for doing statistical/graphical analyses not testing
trading systems.
That said, the time series package and some of the dynamical systems
packages might have some relevance for testing ideas if you're into
arma, arima, etc type models. And I do remember there was someone
developing an application called R for tRadeRs. Don't know what happened
to that.
I think you're best bet would be to post your note to the R help list :
r-help@xxxxxxxxxxxxxxxxx
Bill
----- Original Message -----
From: "Sanford Morton" <smorton@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, February 07, 2003 4:07 PM
Subject: R, S or S-Plus or other batch languange for backtesting?
> Is there a recommended batch language for back testing and
optimization?
>
> I find I'd like to do some significant backtesting. I want to test
> stationary strategies, but over several different securities, time
> periods and parameters. This amounts to perhaps scores or hundreds of
> backtests and optimizations across paramter sets. The prospect of
doing
> this manually with Tradestation is unappealing, I need a batch
language.
>
> R, S and S-Plus (eg, http://cran.us.r-project.org/ ) are a statistical
> and data analysis language with good matrix and time series
> operations, and it seems backtesting trading strategies might be
> do-able in them. Has anyone implmented strategy operations there? Or
> are there other languages which are recommended for backtesting?
>
> Thanks for your comments.
> Sanford Morton
>
>
>
>
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