Re: [R] currency or stock trading strategy
Thanks to everyone for many useful tips to more information.I think this thread is worth reading, if only for that reason alone (despite some disparaging comments about my research abilitites). I appreciate the advice from those who have more experience with these finance tools than me (that is not hard!), as your advice could save me many, many hours of googling and reading materials, trying to form my own impressions and evaluations of the strengths and weaknesses in various packages, with the aim of finding something easy to work with at a relatively high level of function and performance (without the price tag!). So, thanks! I wonder if I might pose a small coding problem to the list, with the intention that list members might offer some code in this thread to illustrate the utilities available? I would hope to see some alternatives and some further commentary on preferred methods. Take for instance, the charts plotted on this page: http://invest.kleinnet.com/bmw1/intro.html I think it should be easy to keep a daily catalogue of all these charts, and the associated metrics, for all stocks that have quote data readily available. What is the most efficient, succint methods for doing this with open-source software? Best, Darren On 9/19/06, BBands [EMAIL PROTECTED] wrote: On 9/17/06, Darren Weber [EMAIL PROTECTED] wrote: Hi, are there any good charting and analysis tools for use with currencies, stocks, etc. in R? I have some tools to download currency data from the NYFRB using python and XML. Can we get and parse an XML download using R? Can we have interaction in R plots? Does anyone use R for back-testing trading strategies? Are there any forums for discussion of using R for this specific purpose (apart from this general list)? Is anyone aware of any general open-source developments for these purposes (I don't see any from GNU or google searches)? Take care, Darren I hardly know where to start either. I use R, Python, rpy, gnuplot-py and gnuplot together and am very happy with the result. I find that each piece has it own strengths and together they provide a very powerful solution. I am currently working on integrating TA-lib into this mix via a project started by Andrea Malagoli--see the r-sig-finance archives. http://rpy.sourceforge.net/ http://www.gnuplot.info/ http://gnuplot-py.sourceforge.net/ http://ta-lib.org/ jab -- John Bollinger, CFA, CMT www.BollingerBands.com If you advance far enough, you arrive at the beginning. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] currency or stock trading strategy
Darren Weber wrote: Hi Patrick, thanks for pointing me to your work and Rmetrics. I have a few questions on my mind right now. Do you have methods for automatic download of price quote histories? Rmetrics and tseries I can use python to get XML data on FOREX price quotes from the NYRB and other sites. Together with Rpy and matplotlib, that data download could form the basis for an open source technical analysis platform. I still need some way to get open source price quote histories for stocks yahoo internet Bloomberg with R interface exchanges delayed on internet or by direct subscription or through Bloomberg Diethelm Wuertz and options. Any ideas? Best, Darren On 9/18/06, Patrick Burns [EMAIL PROTECTED] wrote: The Finance page of the Burns Statistics website tells you how to sign up to R-sig-finance. You want to investigate Rmetrics. You can see an example of backtesting in R from the 'evalstrat' package that is in the Public Domain area of the Burns Statistics website. Patrick Burns [EMAIL PROTECTED] +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and A Guide for the Unwilling S User) Darren Weber wrote: Hi, are there any good charting and analysis tools for use with currencies, stocks, etc. in R? I have some tools to download currency data from the NYFRB using python and XML. Can we get and parse an XML download using R? Can we have interaction in R plots? Does anyone use R for back-testing trading strategies? Are there any forums for discussion of using R for this specific purpose (apart from this general list)? Is anyone aware of any general open-source developments for these purposes (I don't see any from GNU or google searches)? Take care, Darren __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] currency or stock trading strategy
On 9/17/06, Darren Weber [EMAIL PROTECTED] wrote: Hi, are there any good charting and analysis tools for use with currencies, stocks, etc. in R? I have some tools to download currency data from the NYFRB using python and XML. Can we get and parse an XML download using R? Can we have interaction in R plots? Does anyone use R for back-testing trading strategies? Are there any forums for discussion of using R for this specific purpose (apart from this general list)? Is anyone aware of any general open-source developments for these purposes (I don't see any from GNU or google searches)? Take care, Darren I hardly know where to start either. I use R, Python, rpy, gnuplot-py and gnuplot together and am very happy with the result. I find that each piece has it own strengths and together they provide a very powerful solution. I am currently working on integrating TA-lib into this mix via a project started by Andrea Malagoli--see the r-sig-finance archives. http://rpy.sourceforge.net/ http://www.gnuplot.info/ http://gnuplot-py.sourceforge.net/ http://ta-lib.org/ jab -- John Bollinger, CFA, CMT www.BollingerBands.com If you advance far enough, you arrive at the beginning. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] currency or stock trading strategy
Hi Patrick, thanks for pointing me to your work and Rmetrics. I have a few questions on my mind right now. Do you have methods for automatic download of price quote histories? I can use python to get XML data on FOREX price quotes from the NYRB and other sites. Together with Rpy and matplotlib, that data download could form the basis for an open source technical analysis platform. I still need some way to get open source price quote histories for stocks and options. Any ideas? Best, Darren On 9/18/06, Patrick Burns [EMAIL PROTECTED] wrote: The Finance page of the Burns Statistics website tells you how to sign up to R-sig-finance. You want to investigate Rmetrics. You can see an example of backtesting in R from the 'evalstrat' package that is in the Public Domain area of the Burns Statistics website. Patrick Burns [EMAIL PROTECTED] +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and A Guide for the Unwilling S User) Darren Weber wrote: Hi, are there any good charting and analysis tools for use with currencies, stocks, etc. in R? I have some tools to download currency data from the NYFRB using python and XML. Can we get and parse an XML download using R? Can we have interaction in R plots? Does anyone use R for back-testing trading strategies? Are there any forums for discussion of using R for this specific purpose (apart from this general list)? Is anyone aware of any general open-source developments for these purposes (I don't see any from GNU or google searches)? Take care, Darren __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] currency or stock trading strategy
Hi, are there any good charting and analysis tools for use with currencies, stocks, etc. in R? I have some tools to download currency data from the NYFRB using python and XML. Can we get and parse an XML download using R? Can we have interaction in R plots? Does anyone use R for back-testing trading strategies? Are there any forums for discussion of using R for this specific purpose (apart from this general list)? Is anyone aware of any general open-source developments for these purposes (I don't see any from GNU or google searches)? Take care, Darren __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
