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I have multiple variations of an automated strategy for trading certain investment vehicles. For each of these variations I have cross-validated backtests on historic data. I need to pick the best-performing test. There is significant variation between the tests in terms of trades per day, net position size, etc. This makes it difficult to compare one to another.

The nature of the test relies on the predictions of a multidimensional nearest-neighbor search.

Having been recently acquainted with R, I am looking for packages/functions/tests to help me analyze various elements of my strategies' performance. Particularly, I am interested in two things: 1. Packages/functions/metrics that gauge the efficacy of my predictor. 2. Packages/functions/metrics that gauge the relative "profitability" of one variation to another.

If you know something that I should take a look at, please do not hesitate to post it!

Mike Furlender
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1 Answers1

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I would definitely take a look at these two R Task views:

They provide a broad overview of the kind of packages that are used in these fields. Googling for:

using R for financial analysis

also got me a lot of hits that are relevant for your situation. Good luck!

Paul Hiemstra
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