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quantstrat (version 0.8.2)
Quantitative Strategy Model Framework
Description
Specify, build, and back-test quantitative financial trading and portfolio strategies
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Version
0.8.2
License
GPL-3
Maintainer
Brian G Peterson
Functions in quantstrat (0.8.2)
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apply.paramset
Apply a paramset to the strategy
add.constraint
Adds a constraint on 2 distributions within a paramset
add.signal
add a signal to a strategy
add.distribution
Adds a distribution to a paramset in a strategy
add.init
add arbitrary initialization functions to a strategy
add.indicator
add an indicator to a strategy
add.distribution.constraint
Adds a constraint on 2 distributions within a paramset
add.rule
add a rule to a strategy
addOrder
add an order to the order book
addPosLimit
add position and level limits at timestamp
applyStrategy
apply the strategy to arbitrary market data
applyRules
apply the rules in the strategy to arbitrary market data
delete.paramset
Delete a paramset from a strategy
applyStrategy.rebalancing
apply the strategy to arbitrary market data, with periodic rebalancing
chart.forward
Chart to analyse walk.forward() objective function
applyIndicators
apply the indicators in the strategy to arbitrary market data
chart.forward.training
Chart to analyse walk.forward() objective function
applyParameter
Generate parameter sets for a specific strategy, test the strategy on each set of parameters, output result package.
applySignals
apply the signals in the strategy to arbitrary market data
enable.rule
enable a rule in the strategy
getPosLimit
get position and level limits on timestamp
get.strategy
retrieve strategy from the container environment
is.strategy
test to see if object is of type 'strategy'
initOrders
initialize order container
initStrategy
run standard and custom strategy initialization functions
getOrders
get orders by time span, status, type, and side
match.names
match names in data to a list of partial name matches
load.strategy
load a strategy object from disk into memory
getParameterTable
Extract the parameter structure from a strategy object.
get.orderbook
get the order book object
put.strategy
put a strategy object in .strategy env
ruleOrderProc
process open orders at time
t
, generating transactions or new orders
rm.strat
Remove objects associated with a strategy
quantstrat-package
Quantitative Strategy Model Framework
ruleRevoke
rule to revoke(cancel) an unfilled limit order on a signal
rulePctEquity
rule to base trade size on a percentage of available equity.
put.orderbook
put an orderbook object in .strategy env
paramConstraint
Internal function used in applyParameter function for process constraints on relationship between two parameter values. Basicly is the same as sigComparison function in signal.R written by Brian, with minor change.
osMaxPos
order sizing function for position limits and level sizing
osNoOp
default order sizing function
save.strategy
save a strategy object from memory onto disk
ruleSignal
default rule to generate a trade order on a signal
sigCrossover
generate a crossover signal
sigComparison
generate comparison signal
sigFormula
generate a signal from a formula
sigPeak
signal function for peak/valley signals
sigTimestamp
generate a signal on a timestamp
sigThreshold
generate a threshold signal
setParameterConstraint
Function to construct parameter constraint object.
setParameterDistribution
Function used to create an object that contains the distribution of parameters to be generated from, before testing parameters of a strategy.
strategy
constructor for objects of type 'strategy'
stratBBands
Bollinger Bands Strategy
tradeOrderStats
get order information associated with closing positions
updateOrders
update an order or orders
updateStrategy
run standard and custom strategy wrapup functions such as updating portfolio, account, and ending equity
tradeGraphs
Draw 3D graphs from tradeStats results using rgl
stratFaber
Faber market timing strategy
walk.forward
Rolling Walk Forward Analysis