quantstrat v0.11.0

Quantitative Strategy Model Framework

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

Functions in quantstrat

Name Description
applyIndicators apply the indicators in the strategy to arbitrary market data
applyIndicatorSignals Calculate Indicators and Signals for a Strategy
getOrders get orders by time span, status, type, and side
chart.forward Chart to analyse walk.forward() objective function
osNoOp default order sizing function
paramConstraint Internal function used in applyParameter function for process constraints on relationship between two parameter values. (deprecated)
print.profitHurdle print method for Harvey and Liu Haircut Sharpe Ratio
print.haircutSR print method for Harvey and Liu Haircut Sharpe Ratio
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
chart.forward.training Chart to analyse walk.forward() objective function
walk.forward Rolling Walk Forward Analysis
strategy constructor for objects of type 'strategy'
is.strategy test to see if object is of type 'strategy'
delete.paramset Delete a paramset from a strategy
degrees.of.freedom calculate degrees of freedom used by a strategy and available from test data
stratFaber Faber market timing strategy
load.strategy load a strategy object from disk into memory
get.strategy retrieve strategy from the container environment
applySignals apply the signals in the strategy to arbitrary market data
print.dof print method for strategy degrees of freedom object
post.signal.returns Generate Post Signal Returns
getParameterTable Extract the parameter structure from a strategy object. (deprecated)
get.orderbook get the order book object
initStrategy run standard and custom strategy initialization functions
getPosLimit get position and level limits on timestamp
profitHurdle Profit Hurdle function - A Minimum Profitability Method for Proposed Trading Strategies
initOrders initialize order container
put.orderbook put an orderbook object in .strategy env
sigPeak signal function for peak/valley signals
setParameterConstraint Function to construct parameter constraint object. (deprecated)
sigCrossover generate a crossover signal
initSymbol Run standard and custom symbol initialization functions
save.strategy save a strategy object from memory onto disk
sigThreshold generate a threshold signal
put.strategy put a strategy object in .strategy env
quantstrat-package Quantitative Strategy Model Framework
applyStrategy apply the strategy to arbitrary market data
distributional.boxplot Visualization of Single Signal
sigFormula generate a signal from a formula
ruleSignal default rule to generate a trade order on a signal
signal.obj.slope Signal Objective Function
sample_random_multests Generate empirical p-value distributions
osMaxPos order sizing function for position limits and level sizing
enable.rule enable a rule in the strategy
signal.path.plot Visualization of Signal Path
match.names match names in data to a list of partial name matches
sigTimestamp generate a signal on a timestamp
signal.generate.statistics Signal Objective Function Calculation
tradeOrderStats get order information associated with closing positions
tradeGraphs Draw 3D graphs from tradeStats results using rgl
ruleOrderProc process open orders at time t, generating transactions or new orders
rm.strat Remove objects associated with a strategy
rulePctEquity rule to base trade size on a percentage of available equity.
signal.plot Visualization of Signal Across Lookback
ruleRevoke rule to revoke(cancel) an unfilled limit order on a signal
stratBBands Bollinger Bands Strategy
updateOrders update an order or orders
updateStrategy run standard and custom strategy wrapup functions such as updating portfolio, account, and ending equity
deflatedSharpe Calculate a Deflated Sharpe Ratio using number of trials and portfolio moments
add.indicator add an indicator to a strategy
add.rule add a rule to a strategy
addPosLimit add position and level limits at timestamp
addOrder add an order to the order book
add.distribution Adds a distribution to a paramset in a strategy
add.distribution.constraint Adds a constraint on 2 distributions within a paramset
add.init add arbitrary initialization functions to a strategy
add.signal add a signal to a strategy
apply.paramset.signal.analysis Signal Analysis With Parmeter Optimization
apply.paramset Apply a paramset to the strategy
applyParameter Generate parameter sets for a specific strategy, test the strategy on each set of parameters, output result package. (deprecated)
applyStrategy.rebalancing apply the strategy to arbitrary market data, with periodic rebalancing
beanplot.signals Visualization of Signal Across Lookback with Beanplots
haircutSharpe Haircut Sharpe Ratio to correct for number of trials and autocorrelation
applyRules apply the rules in the strategy to arbitrary market data
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Type Package
Date 2018-04-05 $Date$
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
VignetteBuilder knitr

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