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quantstrat (version 0.10.7)
Quantitative Strategy Model Framework
Description
Specify, build, and back-test quantitative financial trading and portfolio strategies.
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Version
0.10.7
License
GPL-3
Maintainer
Brian G Peterson
Last Published
December 18th, 2017
Functions in quantstrat (0.10.7)
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add.distribution
Adds a distribution to a paramset in a strategy
add.distribution.constraint
Adds a constraint on 2 distributions within a paramset
applyIndicatorSignals
Calculate Indicators and Signals for a Strategy
applyIndicators
apply the indicators in the strategy to arbitrary market data
getOrders
get orders by time span, status, type, and side
getParameterTable
Extract the parameter structure from a strategy object. (deprecated)
is.strategy
test to see if object is of type 'strategy'
load.strategy
load a strategy object from disk into memory
post.signal.returns
Generate Post Signal Returns
print.dof
print method for strategy degrees of freedom object
rulePctEquity
rule to base trade size on a percentage of available equity.
ruleRevoke
rule to revoke(cancel) an unfilled limit order on a signal
deflatedSharpe
Calculate a Deflated Sharpe Ratio using number of trials and portfolio moments
haircutSharpe
Haircut Sharpe Ratio to correct for number of trials and autocorrelation
signal.plot
Visualization of Signal Across Lookback
stratBBands
Bollinger Bands Strategy
tradeGraphs
Draw 3D graphs from tradeStats results using rgl
tradeOrderStats
get order information associated with closing positions
applySignals
apply the signals in the strategy to arbitrary market data
applyStrategy
apply the strategy to arbitrary market data
chart.forward
Chart to analyse walk.forward() objective function
chart.forward.training
Chart to analyse walk.forward() objective function
add.indicator
add an indicator to a strategy
add.init
add arbitrary initialization functions to a strategy
initStrategy
run standard and custom strategy initialization functions
applyParameter
Generate parameter sets for a specific strategy, test the strategy on each set of parameters, output result package. (deprecated)
initSymbol
Run standard and custom symbol initialization functions
applyRules
apply the rules in the strategy to arbitrary market data
print.haircutSR
print method for Harvey and Liu Haircut Sharpe Ratio
print.profitHurdle
print method for Harvey and Liu Haircut Sharpe Ratio
get.strategy
retrieve strategy from the container environment
ruleSignal
default rule to generate a trade order on a signal
get.orderbook
get the order book object
sample_random_multests
Generate empirical p-value distributions
sigTimestamp
generate a signal on a timestamp
signal.generate.statistics
Signal Objective Function Calculation
put.strategy
put a strategy object in .strategy env
updateOrders
update an order or orders
quantstrat-package
Quantitative Strategy Model Framework
updateStrategy
run standard and custom strategy wrapup functions such as updating portfolio, account, and ending equity
addOrder
add an order to the order book
addPosLimit
add position and level limits at timestamp
sigCrossover
generate a crossover signal
match.names
match names in data to a list of partial name matches
osMaxPos
order sizing function for position limits and level sizing
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
stratFaber
Faber market timing strategy
sigFormula
generate a signal from a formula
strategy
constructor for objects of type 'strategy'
getPosLimit
get position and level limits on timestamp
initOrders
initialize order container
profitHurdle
Profit Hurdle function - A Minimum Profitability Method for Proposed Trading Strategies
put.orderbook
put an orderbook object in .strategy env
save.strategy
save a strategy object from memory onto disk
setParameterConstraint
Function to construct parameter constraint object. (deprecated)
signal.obj.slope
Signal Objective Function
signal.path.plot
Visualization of Signal Path
add.rule
add a rule to a strategy
add.signal
add a signal to a strategy
applyStrategy.rebalancing
apply the strategy to arbitrary market data, with periodic rebalancing
beanplot.signals
Visualization of Signal Across Lookback with Beanplots
degrees.of.freedom
calculate degrees of freedom used by a strategy and available from test data
delete.paramset
Delete a paramset from a strategy
sigThreshold
generate a threshold signal
sigPeak
signal function for peak/valley signals
distributional.boxplot
Visualization of Single Signal
enable.rule
enable a rule in the strategy
apply.paramset
Apply a paramset to the strategy
rm.strat
Remove objects associated with a strategy
ruleOrderProc
process open orders at time
t
, generating transactions or new orders
apply.paramset.signal.analysis
Signal Analysis With Parmeter Optimization
osNoOp
default order sizing function
paramConstraint
Internal function used in applyParameter function for process constraints on relationship between two parameter values. (deprecated)
walk.forward
Rolling Walk Forward Analysis