Peter, Of course you right - someone can test strategies using the blotter. When I first used the blotter, I was convinced that this is how it should work (for backtesting). Next I thought, if I use the blotter backtest, it can also be used for real trading. I noticed that blotter is too slow and I started to look for ways to make it faster with a C. But I was wrong completely and I presume that this mistake is committing a lot of people who begin to use the blotter.
You and Brian have a great experience in finance. In my opinion blotter is written by professionals for professionals. Beginners often commits the same mistake that I committed - that is, believes that eg blotter is a whole platform. But the truth is that this is only a small part which is designed specifically for PnL (blotter). To analyze the strategy can be used with some packages from ReturnAnalytics - all specialized in selected uses. This is one of the main differences between beginners and professionals. These are my thoughts and I hope that they will be useful for all begins to work with R and eg blotter. I also want to thank you, Brian, Jeff and others that you share with others your experience. btw. "Strategy summary performance report" is an interesting idea to develop a package (?? TradeReport...) of useful templates for generating reports (pdf) using Sweave, blotter and others R's finance tools. Best regards, daniel 2011/5/2 Peter Carl <[email protected]>: > Two small additional things. First, look at the demo directory in blotter > for code examples. I do, however, agree with Brian's assertion that > blotter is best used indirectly through a framework like quantstrat. You > will, however, want to analyze the results using blotter's data and > objects, and tracking through those demos might help you understand how to > do that better. > > We've spent a fair amount of time improving blotter's documentation with > the aim of moving it and a companion package, FinancialInstrument, to CRAN > relatively soon. That said, this is an area where contributions would be > much appreciated. If you've got an example, a demo, notes that you've > kept for your own use, etc. that you think would be additive, we'd like to > know. Tests are deeply appreciated. Please feel free to contact either > Brian or I with ideas. > > pcc > -- > Peter Carl > http://www.braverock.com/~peter > >> On Sun, 2011-05-01 at 19:10 -0700, algotr8der wrote: >>> I have been searching for documentation for the blotter package and I am >>> confused as to what is the official documentation. I have version 193 of >>> blotter installed and there are no user guides or package vignettes >>> associated with the install. >>> >>> I too am looking for ways to extract trade statistics. >>> >>> So - my questions are: >>> >>> 1) Can someone please point me to the official documentation for blotter >>> >>> 2) Are functions such as table.TradeStats.R and the likes implemented in >>> new >>> versions of blotter. >>> >>> Thank you very kindly. >> >> Daniel's response is close to the mark. >> >> Obviously, the documentation for any R package is included with the >> installation of the package, and is available from within R with help(), >> '?', '??' and help.search(). >> >> R-Forge, however, does not generate PDF versions of the manual for you. >> You would need to do that yourself using 'R CMD check' or similar. As >> I've said before on this list, this may be done easily on *nix and Mac >> systems, and with Duncan's Rtools for Windows. >> >> http://www.murdoch-sutherland.com/Rtools/ >> >> Anyone who wants to use development packages in Windows should be able >> to build those packages from source. >> >> SVN r193 of blotter is *very* old (2010-01-21). The current SVN commit >> is r596. Since r512(2010-12-30), blotter has have the 'tradeStats' and >> related functions which I believe answer algotr8der's question number 2. >> (more recent versions of blotter include better versions of these >> functions). Since r516(2010-10-10) , blotter has had function >> PortfReturns(), which provides per-instrument return contribution on >> account equity. PortfReturns may be used to extract return-based >> numbers for use with analysis ala PerformanceAnalytics. >> >> As Daniel said in his reply to this thread, blotter only (and will only) >> deal with P&L for a set of transactions. It knows nothing of 'strategy'. >> For defining 'strategy' rules, I will refer you to the 'quantstrat' >> package, also on R-Forge in the TradeAnalytics project. quantstrat uses >> blotter transparently for P&L. I rarely call blotter by hand, except to >> use chart.Posn(). I let quantstrat manage the rest of the mechanics. >> >> As an aside: The entire TradeAnalytics set of packages (specifically >> quantstrat and blotter) are listed as alpha code because they are still >> under heavy development, interfaces and functions may change. That >> said, they are robust to their intended purpose, and are used on real, >> large, production strategies with very high correlations between >> theoretical and actual trading results. >> >> Regards, >> >> - Brian >> >> >> -- >> Brian G. Peterson >> http://braverock.com/brian/ >> Ph: 773-459-4973 >> IM: bgpbraverock >> >> _______________________________________________ >> [email protected] mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. If you want to post, subscribe first. >> -- Also note that this is not the r-help list where general R questions >> should go. >> > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
