apply.paramset |
Apply a paramset to the strategy |
add.constraint |
Adds a constraint on 2 distributions within a paramset |
add.signal |
add a signal to a strategy |
add.distribution |
Adds a distribution to a paramset in a strategy |
add.init |
add arbitrary initialization functions to a strategy |
add.indicator |
add an indicator to a strategy |
add.distribution.constraint |
Adds a constraint on 2 distributions within a paramset |
add.rule |
add a rule to a strategy |
addOrder |
add an order to the order book |
addPosLimit |
add position and level limits at timestamp |
applyStrategy |
apply the strategy to arbitrary market data |
applyRules |
apply the rules in the strategy to arbitrary market data |
delete.paramset |
Delete a paramset from a strategy |
applyStrategy.rebalancing |
apply the strategy to arbitrary market data, with periodic rebalancing |
chart.forward |
Chart to analyse walk.forward() objective function |
applyIndicators |
apply the indicators in the strategy to arbitrary market data |
chart.forward.training |
Chart to analyse walk.forward() objective function |
applyParameter |
Generate parameter sets for a specific strategy, test the strategy on each set of parameters, output result package. |
applySignals |
apply the signals in the strategy to arbitrary market data |
enable.rule |
enable a rule in the strategy |
getPosLimit |
get position and level limits on timestamp |
get.strategy |
retrieve strategy from the container environment |
is.strategy |
test to see if object is of type 'strategy' |
initOrders |
initialize order container |
initStrategy |
run standard and custom strategy initialization functions |
getOrders |
get orders by time span, status, type, and side |
match.names |
match names in data to a list of partial name matches |
load.strategy |
load a strategy object from disk into memory |
getParameterTable |
Extract the parameter structure from a strategy object. |
get.orderbook |
get the order book object |
put.strategy |
put a strategy object in .strategy env |
ruleOrderProc |
process open orders at time t, generating transactions or new orders |
rm.strat |
Remove objects associated with a strategy |
quantstrat-package |
Quantitative Strategy Model Framework
|
ruleRevoke |
rule to revoke(cancel) an unfilled limit order on a signal |
rulePctEquity |
rule to base trade size on a percentage of available equity. |
put.orderbook |
put an orderbook object in .strategy env |
paramConstraint |
Internal function used in applyParameter function for process constraints on relationship between two parameter values. Basicly is the same as sigComparison function in signal.R written by Brian, with minor change. |
osMaxPos |
order sizing function for position limits and level sizing |
osNoOp |
default order sizing function |
save.strategy |
save a strategy object from memory onto disk |
ruleSignal |
default rule to generate a trade order on a signal |
sigCrossover |
generate a crossover signal |
sigComparison |
generate comparison signal |
sigFormula |
generate a signal from a formula |
sigPeak |
signal function for peak/valley signals |
sigTimestamp |
generate a signal on a timestamp |
sigThreshold |
generate a threshold signal |
setParameterConstraint |
Function to construct parameter constraint object. |
setParameterDistribution |
Function used to create an object that contains the distribution of parameters to be generated from, before testing parameters of a strategy. |
strategy |
constructor for objects of type 'strategy' |
stratBBands |
Bollinger Bands Strategy |
tradeOrderStats |
get order information associated with closing positions |
updateOrders |
update an order or orders |
updateStrategy |
run standard and custom strategy wrapup functions such as updating portfolio, account, and ending equity |
tradeGraphs |
Draw 3D graphs from tradeStats results using rgl |
stratFaber |
Faber market timing strategy |
walk.forward |
Rolling Walk Forward Analysis |
No Results! |