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quantstrat (version 0.11.0)

Quantitative Strategy Model Framework

Description

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

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Version

Version

0.11.0

License

GPL-3

Maintainer

Brian G Peterson

Last Published

July 13th, 2021

Functions in quantstrat (0.11.0)

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