R Packages for backtesting and running trading strategies

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rnick

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Hi all,

I am trying to figure out what are the best packages in R to use in order to backtest trading strategies. If anyone has used or is aware of the packages or what is the best way to approach it if they do not exist, I would appreciate if could let me know. I have broken down the "needed" packages in a logical way below but if there is any other order would be great to hear. Please amend where you think appropriate.

1) Datadownload: rBlooberg,....?
2) Datahandling: TimeWarp, zoo, xts ....?
3) Strategy: Proprietary, ....?
4) Indicators: Quantmod, .....?
5) P&L Calculation: .......?
6) Analysis of returns: .......?
7) Riskmetrics: .......?

Thank you in advance
 
check quantstrat. Subscribe to R-SIG-Finance to get more information. Make sure you read the posting guidelines
 
Others. FinancialInstrument, Blotter, TTR, quantmod, and xts. Just load them up on starting R with the require command. Not that tough =P
 
definitely try out ESS. I would also recommend Rmetrics. They have excellent functions.

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