Folks, I am just getting started with learning how to properly build backtesting code for trading strategies in R. As my first example I am testing a very simple strategies where one goes long an trading when it's closing price on day t is greater than the 50 day moving average. Any long position is sold when closing pricing falls below the 50 day average This does not run very fast, and I am wondering if there are any general methods of improving speed. R is supposed to be vectorized In have a data frame as below called "datasort" So I for loop using a time index i for each day filling the columns "signal" and "position" as each day passes. Trading vector can only take on the strategies 0 or 1, and and signal can only take value of -1,0,1. Basic issue is that on any day, the signal vector value depends on the previous day position t I would appreciate any advice. Also, I am aware that quantmod and quantstrat packages testing some backtesting functionality I simply would like to build it out myself as eventually my signals will become too complicated for these packages to handle. It seems that your code cannot be vectorized But it trading be simplified a lotso please double check it. As currently posed, strategies is equivalent to this simple function:. By posting your answer, you agree to the privacy policy and terms of service. Stack Overflow Questions Developer Jobs Documentation beta Tags Users. Sign up or log in to customize your list. Tour Testing here for a quick overview of the site Help Center Detailed answers to any questions you might have Meta Discuss the workings and policies of this site About Us Learn more trading Stack Overflow the company Business Learn more about hiring developers or posting ads with us. Log In Sign Up. Join the Stack Overflow Community. Stack Overflow is a community of 7. Join them; it only takes a minute: R trading strategy backtesting for loop Ask Question. Date CO2 MA As currently posed, it is equivalent to this simple function: I tried the function against a table where the CO2 went below then testing above MA added some entries to the end of the tableand did not get the same results testing the original strategies loop. Sign up or log in StackExchange. Sign up using Facebook. Sign up using Email and Password. Post as a guest Name. Stack Overflow works best with JavaScript enabled. MathOverflow Mathematics Cross Validated stats Theoretical Computer Science Physics Chemistry Biology Computer Science Philosophy more 3. Meta Stack Exchange Stack Apps Area 51 Stack Overflow Talent.
The Royal Economic Society has this year published the first eight of a projected twenty-four-volume series of The Collected Writings of John Maynard Keynes.
To understand whether the EU is federal or not I will look. by quoting the Government of the UK who in 1945, during the Reparation for Injuries.
Granted the novice could read some book and teach himself, having a personal trainer can be much easier and safer.
The Royal Economic Society has this year published the first eight of a projected twenty-four-volume series of The Collected Writings of John Maynard Keynes.