assets

The dataset contains the price data (not returns!), each starting at a value of 100. The dates are randomly recreated by choosing the latest date as Sys.Date() going backwards on a daily basis per row.

datasets

Users can build and test customized quantitative trading strategies. Some quantitative trading strategies are already implemented, e.g. various moving-average filters with trend following approaches.
The implemented class called "Strategy" allows users to access several methods to analyze performance figures, plots and backtest the strategies.
Furthermore, custom strategies can be added, a generic template is available. The custom strategies require a certain input and output so they can be called from the Strategy-constructor.

Julian Busch

Strategy

Generic Framework to Analyze Trading Strategies

assets function

An xts-object with 1000 rows and 10 variables:<dl class="dl-horizontal">
 <dt>asset1</dt><dd>Column with price data of a random walk called asset1.</dd>
 <dt>asset2</dt><dd>Column with price data of a random walk called asset2.</dd>
 ...
</dl>

Format

Random walks for 10 assets as example data. — assets

An xts-object with 1000 rows and 10 variables:<dl class='dl-horizontal'>
 <dt>asset1</dt><dd>Column with price data of a random walk called asset1.</dd>
 <dt>asset2</dt><dd>Column with price data of a random walk called asset2.</dd>
 ...
</dl>

assets: Random walks for 10 assets as example data.

Description

Usage

Arguments

Format