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quantstrat (version 0.11.0)
Quantitative Strategy Model Framework
Description
Specify, build, and back-test quantitative financial trading and portfolio strategies.
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Version
0.11.0
License
GPL-3
Maintainer
Brian G Peterson
Last Published
April 18th, 2018
Functions in quantstrat (0.11.0)
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applyIndicators
apply the indicators in the strategy to arbitrary market data
applyIndicatorSignals
Calculate Indicators and Signals for a Strategy
getOrders
get orders by time span, status, type, and side
chart.forward
Chart to analyse walk.forward() objective function
osNoOp
default order sizing function
paramConstraint
Internal function used in applyParameter function for process constraints on relationship between two parameter values. (deprecated)
print.profitHurdle
print method for Harvey and Liu Haircut Sharpe Ratio
print.haircutSR
print method for Harvey and Liu Haircut Sharpe Ratio
setParameterDistribution
Function used to create an object that contains the distribution of parameters to be generated from, before testing parameters of a strategy. (deprecated)
sigComparison
generate comparison signal
chart.forward.training
Chart to analyse walk.forward() objective function
walk.forward
Rolling Walk Forward Analysis
strategy
constructor for objects of type 'strategy'
is.strategy
test to see if object is of type 'strategy'
delete.paramset
Delete a paramset from a strategy
degrees.of.freedom
calculate degrees of freedom used by a strategy and available from test data
stratFaber
Faber market timing strategy
load.strategy
load a strategy object from disk into memory
get.strategy
retrieve strategy from the container environment
applySignals
apply the signals in the strategy to arbitrary market data
print.dof
print method for strategy degrees of freedom object
post.signal.returns
Generate Post Signal Returns
getParameterTable
Extract the parameter structure from a strategy object. (deprecated)
get.orderbook
get the order book object
initStrategy
run standard and custom strategy initialization functions
getPosLimit
get position and level limits on timestamp
profitHurdle
Profit Hurdle function - A Minimum Profitability Method for Proposed Trading Strategies
initOrders
initialize order container
put.orderbook
put an orderbook object in .strategy env
sigPeak
signal function for peak/valley signals
setParameterConstraint
Function to construct parameter constraint object. (deprecated)
sigCrossover
generate a crossover signal
initSymbol
Run standard and custom symbol initialization functions
save.strategy
save a strategy object from memory onto disk
sigThreshold
generate a threshold signal
put.strategy
put a strategy object in .strategy env
quantstrat-package
Quantitative Strategy Model Framework
applyStrategy
apply the strategy to arbitrary market data
distributional.boxplot
Visualization of Single Signal
sigFormula
generate a signal from a formula
ruleSignal
default rule to generate a trade order on a signal
signal.obj.slope
Signal Objective Function
sample_random_multests
Generate empirical p-value distributions
osMaxPos
order sizing function for position limits and level sizing
enable.rule
enable a rule in the strategy
signal.path.plot
Visualization of Signal Path
match.names
match names in data to a list of partial name matches
sigTimestamp
generate a signal on a timestamp
signal.generate.statistics
Signal Objective Function Calculation
tradeOrderStats
get order information associated with closing positions
tradeGraphs
Draw 3D graphs from tradeStats results using rgl
ruleOrderProc
process open orders at time
t
, generating transactions or new orders
rm.strat
Remove objects associated with a strategy
rulePctEquity
rule to base trade size on a percentage of available equity.
signal.plot
Visualization of Signal Across Lookback
ruleRevoke
rule to revoke(cancel) an unfilled limit order on a signal
stratBBands
Bollinger Bands Strategy
updateOrders
update an order or orders
updateStrategy
run standard and custom strategy wrapup functions such as updating portfolio, account, and ending equity
deflatedSharpe
Calculate a Deflated Sharpe Ratio using number of trials and portfolio moments
add.indicator
add an indicator to a strategy
add.rule
add a rule to a strategy
addPosLimit
add position and level limits at timestamp
addOrder
add an order to the order book
add.distribution
Adds a distribution to a paramset in a strategy
add.distribution.constraint
Adds a constraint on 2 distributions within a paramset
add.init
add arbitrary initialization functions to a strategy
add.signal
add a signal to a strategy
apply.paramset.signal.analysis
Signal Analysis With Parmeter Optimization
apply.paramset
Apply a paramset to the strategy
applyParameter
Generate parameter sets for a specific strategy, test the strategy on each set of parameters, output result package. (deprecated)
applyStrategy.rebalancing
apply the strategy to arbitrary market data, with periodic rebalancing
beanplot.signals
Visualization of Signal Across Lookback with Beanplots
haircutSharpe
Haircut Sharpe Ratio to correct for number of trials and autocorrelation
applyRules
apply the rules in the strategy to arbitrary market data