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I'd like to learn how to use these packages, but I cannot seem to find any vignettes that offer something other than extensive code snippets. I'd like to learn about how they all fit together and something akin to a "walk through".

I've found some examples on the web like this series: http://timelyportfolio.blogspot.com/2011/06/quantstrat-to-build-on.html but I'm after something a bit more in depth (like the vignettes / examples in the package "PerformanceAnalytics"

Any sources?

Brian G. Peterson
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n.e.w
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2 Answers2

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Guy Yollin at the University of Washington teaches a class which covers some of this in the new Computational Finance program over there---his lecture notes on quantstrat/blotter can be found at: http://www.r-programming.org/papers

Lastly, recall that these are all packages written by busy volunteers so if documentation is missing ... so maybe you'd want to contribute some yourself?

Guy Yollin
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Dirk Eddelbuettel
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    I'd be more than happy to once I can figure out how to fit it together! I'm actually writing some stuff for opensource that download, convert and standardize arbitrary amounts of data directly from data vendor APIs (Bloomberg / Reuters / IQFeed / Exchanges etc) or static csv's for use in these types of packages! Very happy to contribute - that's why I'd like to learn more about how to integrate these packages. Thanks for these links and your work on R in general, Dirk! – n.e.w Jun 22 '11 at 00:21
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    +1 for Yollin's lecture notes on quantstrat. They've been incredibly helpful in getting the basics of a system going! – FloppyDisk Oct 09 '12 at 18:16
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There's a great e-book "Backtesting Strategies with R", written by Tim Trice on that describes the use of blotter and quantstrat libraries: https://timtrice.github.io/backtesting-strategies/index.html

anytimecoder
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