Learn R Programming

Strategy

R Package to test customized quantitativ trading strategies based.

Copy Link

Version

Install

install.packages('Strategy')

Monthly Downloads

162

Version

1.0.1

License

GPL

Maintainer

Julian Busch

Last Published

August 24th, 2017

Functions in Strategy (1.0.1)

backtest

Backtest Strategy
compare

Compare performance of Strategy-objects.
getBacktestSetup

Get backtest parameter values from Strategy-object
getCosts

Get strategy function from Strategy-object
ES

Expected Shortfall
MDD

Strategy Performance Maximum Drawdown
Strategy-class

Strategy-Class
Strategy

Create Strategy Object
VaR

Value at Risk
assets

Random walks for 10 assets as example data.
getWeights

Get weights from Strategy-object
hitratio

Strategy Hit Ratio
sharpe

Get Sharpe Ratio of Performance
getParameters

Get strategy function parameters from Strategy-object
getPrices

Get price data from Strategy-object
plot

Plot of a Strategy-object
plotDrawdowns

Plot Strategy Drawdowns
getFilters

Get strategy values from Strategy-object
getIndicators

Get indicators from Strategy-object
loss

Get the losses of assets or portfolio over time.
newStrategyFunction

Create Own Strategy
getSignals

Get trading signals from Strategy-object
getStratFUN

Get strategy function from Strategy-object
performance

Get Strategy Performance
performanceIndicators

Strategy Performance Indicators
getStratName

Get strategy function name from Strategy-object
getTrades

Get trades according to the signals from the Strategy-object
plotPerformance

Plot Strategy Performance
plotWeights

Plot Strategy Weights