Thursday, February 17, 2011

Backtesting in Excel and R

This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jared suggested  backtesting a simple DVI strategy in Excel and R.

The three-post series will show you:
  1. Resources that make it easier to move from Excel to R
  2. How to test DVI in Excel
  3. How to test DVI in R
Since I know next to nothing about testing strategies in Excel, I will be writing posts 1 and 3.  Jared was kind enough to create the Excel framework for post 2, but did not have time to devote to a full post.  Thankfully, Damian Roskill has agreed to write post 2 using Jared's Excel file.

Hopefully this will be a useful example for those of you who currently use Excel but would like to explore how to use R.

Monday, February 14, 2011

Stack Exchange: Quantitative Finance in public beta

The Quantitative Finance Stack Exchange community entered public beta last week.  To quote the FAQ:
The Quantitative Finance Stack Exchange is intended specifically for professionals and traders working in investment banking, and academics involved in teaching and research.
Topics include pricing of securities, derivatives, options, risk modeling, quantitative techniques, and the mathematics used in quantitative finance.
Several members of the R/Finance community are active there too.  Some names you may recognize: Patrick Burns, Shane, Dirk Eddelbuettel, Jeff Ryan, and Paul Teetor.