1. R/quantstrat For Fun & Profit
Motivation
Why R/quantstrat?
Overview: The Toolset
Data Warehousing with XTS
Modeling
Backtesting
E. Allen
Nov. 4th 2013
Pittsburgh R Users Group Lightning Talk

2. References Jan Humme, Brian Peterson @ R/Finance 2013:
Guy Yollin, quantstrat/blotter lecture notes:
Blair R/Finance 2012:
My Blog:
This presentation focuses on brevity and perceived gaps in more comprehensive resources. Slides will be available.

3. R/quantstrat For Fun & Profit: Motivation
Quantitative Trading Motivation
Profit!
But, it’s risky – not good for regular income to pay the rent. Don’t quit your day job – unless you’re working for a group that really knows what they’re doing.
But, it is also interesting!
Not as expensive as you might think to trade –except for High Frequency.

4. R/quantstrat For Fun & Profit: Why R/quantstrat?
Features – Leveraging framework with much of what commercial packages offer.
Flexibility – Ability to change for own use.
Cost
Used in professional trading firms.
From Blair Hull: xts, xtime, indexing, sde, monomvn, lars, fUnitRoots, fGarch, manova
Proprietary trading firm contributions, even those with large operations.

5. R/quantstrat For Fun & Profit: The Toolset
The Toolset (from Humme/Peterson)

6. R/quantstrat For Fun & Profit: The Toolset: quantstrat
Part of the TradeAnalytics package
Not yet available on CRAN (under heavy development)
Installing quantstrat:
(Linux/from source)
or, you can try:
install.packages("quantstrat", repos="

7. R/quantstrat For Fun & Profit: The Toolset: quantstrat
Recommended Reading: Trading Systems: A New Approach to System Development and Portfolio Optimisation by Tomasini and Jaekle
This text follows the development and testing of a simple system, Luxor
which is featured in several quantstrat
demos.

8. R/quantstrat For Fun & Profit: The Toolset: quantstrat
Professional+Commercial Tools will provide:
Data Warehouse
System Development
Production Strategy Deployment
R/quantstrat can be used for 1 and 2 – maybe 3.

9. R/quantstrat For Fun & Profit: The Toolset: quantstrat
Toolset: quantstrat (from Humme/Peterson)

10. R/quantstrat For Fun & Profit: The Toolset: quantstrat
Functional Programming Workflow
Indicators and Signals add columns to mkdata xts object.
Applying a Strategy results in a blotter object that contains trade information, ready for analysis.
More advanced features include optimization methods and parallelization.

11. R/quantstrat For Fun & Profit: Data Warehousing
Acquire Data
Record from feed (IQFeed, Interactive Brokers)
Purchase (tickdata.com, IQFeed 6-mo backfill)
Code for the following forthcoming at
Import Data
Use read.csv, convert to xts, name columns for BBO or OHLC data
Use FinancialInstrument SaveSymbols()/getSymbols.FI to
save xts data into daily .rda data files
load/merge subsets of daily data into xts objects

12. R/quantstrat For Fun & Profit: Modeling
R offers many useful packages. Some examples:
urca: Unit root and cointegration tests for time series data
fGarch: Rmetrics - Autoregressive Conditional
Heteroskedastic Modelling

13. R/quantstrat For Fun & Profit: Backtesting
Backtesting (from Humme/Peterson)

14. R/quantstrat For Fun & Profit: Backtesting
Backtesting (from Humme/Peterson)

15. R/quantstrat For Fun & Profit: Optimization
Optimization/Parallelization (from Guy Yollin)

16. R/quantstrat For Fun & Profit: Questions?

17. Appendix A: Equity curve for a strategy under development.