| 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! |