quantstrat v0.10.7

Quantitative Strategy Model Framework

Specify, build, and back-test quantitative financial trading and portfolio strategies.

Functions in quantstrat

Name Description
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
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Type Package
Date 2017-08-07 $Date$
Contributors Yu Chen, Joe Dunn, Dirk Eddelbuettel, Michael Guan, Jeffrey A. Ryan, Garrett See
LazyLoad yes
License GPL-3
Copyright (c) 2009-2017
ByteCompile TRUE

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