3

I am looking to do simple backtesting that could properly keep track of pnl, rebalance portfolio, liquidate etc. I need it to do things a bit differently than backtest. That is, backtest splits things up by quntile and the sort. I would like a more accounting system that I could pass a table with prices, give it positions and have it calculate pnl daily, exit on roll dates, etc. I understand blotter and quantstrat are two such packages but I'm having trouble finding documentation on them. Any help appreciated. I am including xts in the tags since the authors of that package seem to be quite knowledgeable on this topic.

Alex
  • 19,533
  • 37
  • 126
  • 195
  • Re: finding documentation for a package: http://stackoverflow.com/questions/15289995/get-help-for-r-package – GSee May 15 '13 at 02:21

1 Answers1

1

blotter and quantstrat are still in heavy development; you can download the code from https://r-forge.r-project.org/R/?group_id=316.

quantstrat contains a lot of demos; the luxor demos for example in the demo directory should get you started.

HTH,

Jan Humme

Jan Humme
  • 205
  • 1
  • 3
  • Your setup must be different from mine because `demo("luxor.1.strategy")` gives an error that "luxor.include.R" cannot be found. If I `setwd` to the demo directory of my checked out copy of the code, the next error is that there's no data in /usr/local/lib/R/site-library/quantstrat/extdata/GBPUSD. Not to mention that both blotter and quantstrat still give Notes on install and running R CMD check on a build of either of those packages may make your computer explode. – GSee May 21 '13 at 16:12