Wednesday, 26 June 2013  Technical(and not technical) strategy
testing  I got "hooked" on OOP approach of R in particular
reference classes. And after my last little project on option
scenario analysis I reconstructed my messy technical strategy
testing code.  Now to begin I would like to reason why I have
done this while there exist a nice "blotter" and "quantstrat"
packages.  First of all "quantstrat" is faster than blotter,
which is good. However it was not good enough for me. Once you
have 1 minute data and you want to optimise a strategy on 1 year
data you can leave your code running for a few days, what is not
very convenient as your strategy could be worth absolutely
nothing while spending so much time on it. I would also like to
note, that the bigger the matrix, the slower the script runs,
speaking in relative terms of course. And this is general
tendency for R. So I found that 1 minute data is best to test on
1 month minute data without causing too much inconvenience. Of
course you will not get away