xts - backtest simple strategies using R -


i looking simple backtesting keep track of pnl, rebalance portfolio, liquidate etc. need things bit differently backtest. is, backtest splits things quntile , sort. more accounting system pass table prices, give positions , have calculate pnl daily, exit on roll dates, etc. understand blotter , quantstrat 2 such packages i'm having trouble finding documentation on them. appreciated. including xts in tags since authors of package seem quite knowledgeable on topic.

blotter , quantstrat still in heavy development; can download code https://r-forge.r-project.org/r/?group_id=316.

quantstrat contains lot of demos; luxor demos example in demo directory should started.

hth,

jan humme


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