Joshua Ulrich

Joshua Ulrich

10 packages on CRAN

1 packages on GitHub

IBrokers

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Provides native R access to Interactive Brokers Trader Workstation API.

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Provides infrastructure to accurately measure and compare the execution time of R expressions.

pack

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Functions to easily convert data to binary formats other programs/machines can understand.

quantmod

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Specify, build, trade, and analyse quantitative financial trading strategies.

TTR

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Functions and data to construct technical trading rules with R.

xts

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Provide for uniform handling of R's different time-based data classes by extending zoo, maximizing native format information preservation and allowing for user level customization and extension, while simplifying cross-class interoperability.

DEoptim

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Implements the differential evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector.

DescTools

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A collection of miscellaneous basic statistic functions and convenience wrappers for efficiently describing data. The author's intention was to create a toolbox, which facilitates the (notoriously time consuming) first descriptive tasks in data analysis, consisting of calculating descriptive statistics, drawing graphical summaries and reporting the results. The package contains furthermore functions to produce documents using MS Word (or PowerPoint) and functions to import data from Excel. Many of the included functions can be found scattered in other packages and other sources written partly by Titans of R. The reason for collecting them here, was primarily to have them consolidated in ONE instead of dozens of packages (which themselves might depend on other packages which are not needed at all), and to provide a common and consistent interface as far as function and arguments naming, NA handling, recycling rules etc. are concerned. Google style guides were used as naming rules (in absence of convincing alternatives). The 'camel style' was consequently applied to functions borrowed from contributed R packages as well.

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Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, this package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

quantstrat

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Specify, build, and back-test quantitative financial trading and portfolio strategies.

zoo

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An S3 class with methods for totally ordered indexed observations. It is particularly aimed at irregular time series of numeric vectors/matrices and factors. zoo's key design goals are independence of a particular index/date/time class and consistency with ts and base R by providing methods to extend standard generics.