Backtest strategy with only one asset and positions

[MislavSag]

Finally there is some activity on backtesting in R community :) There are multiplie options in python but not so many in R.

I am aware your package is more about portfloio backtesting, but I am curious is there a simple way to backtetst strategy in which I hold / not hold one asset (0 and 1 without short selling). So I have a vector of prices on 1 minute basis and I know dates on which I hold the position. I would need the performance, expecialy relative performance (relative to banschmark).

[dppalomar]

@MislavSag, thanks for your comments.

It is no problem if your xts data only has one column (one asset to invest). Apart from that, you are referring to two other currently open issues:

• Issue Allow for different rebalancing schedules #4: to allow setting positions on specific dates. We plan to implement this, but I don't know when.
• Issue Allow different data frequencies apart from daily #8: to allow different frequencies apart from daily. The current code should run without errors with a different frequency (like 1-min), but for sure there will be some wrong computations of the performance measures (probably some factors that are different for 1-min than daily). This one we also want to implement and it should be easy, but I don't know when.

[dppalomar]

Issue #8 has been implemented to allow for higher frequencies than daily.
Issue #4 not yet.
I close this issue since it is #4 that remains to be implemented.