quantstrat package - RDocumentation

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

quantstrat (version 0.8.2)

Quantitative Strategy Model Framework

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Functions in quantstrat (0.8.2)