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:
- Resources that make it easier to move from Excel to R
- How to test DVI in Excel
- 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.
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