Suljettu

Building a simple , equity curve backtester in R.

We can write in R and , save signals and price, not log diff and use function like this. never a need to go more than 3 bars back on signals from current. handles 1,0,-1, also handles open profit. Let's write this with mechanism test on MA Crossover and we can use it for this work. 

This is the code below in EasyLanguage ( TradeStation)

//PLSimulatorMK

Inputs:  Signal(numericseries),Useopen(Truefalse);

Vars:dmode(0),LEPrice(-99999),LXPrice(-99999),SEPrice(-99999),SXPrice(-99999);

vars: GProfit(0),OpenProfit(0);

vars: Nxtop(0);

Nxtop=open;

If Signal[1]=1 And (Signal[2]=-1 Or Signal[2]=0) Then begin

LEPrice=nxtop;   

If Signal[2]=-1 Then  begin

      SXPrice=nxtop;  

    GProfit=(SEPrice-SXPrice)+GProfit;

   End;

End;

{('***********************************************}

If Signal[1]=-1 And (Signal[2]=1 Or Signal[2]=0) Then  begin

SEPrice=nxtop;  

   If Signal[2]=1 Then begin

      LXPrice=nxtop;  

    GProfit=(LXPrice-LEPrice)+GProfit;

   End; 

End; 

{' deal with open position profit}

If Signal[1]=1 And Useopen=True Then begin

OpenProfit=(Close[1]-LEPrice);

End; 

If Signal[1]=-1 and Useopen=True Then begin

OpenProfit=(SEPrice-Close[1]);

End; 

If Signal[1]=0 Or Useopen=False Then begin

OpenProfit=0;

End;

PLSimulatormk=(GProfit+OpenProfit)

Can you give me a R version

Taidot: Taloudellinen tutkimus, Koneoppiminen, R-ohjelmointikieli

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Projektin tunnus: #13172158

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