Hot answers tagged r
I've never used QuantStrat, but have used SIT for about two years. Michael's blog provides a great way to learn R, understand SIT, and learn about backtesting strategies. I've never found a mistake in his code, and that's how I made a living for 20+ years. It takes some real persistence to understand how to use it in depth, but you can easily set up tests by ...
Seems like you are running cumsum on a normalised vector - which'll give you zero as the end value for each path. Also, in the GBM, the drift term (-sigma^2*dT) needs to accumulate over time.
Only top voted, non community-wiki answers of a minimum length are eligible