# quantstrat v0.8.2

## Quantitative Strategy Model Framework

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

## Functions in quantstrat

Name | Description | |

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! |

## Details

Type | Package |

Date | $Date$ |

Contributors | Yu Chen, Joe Dunn, Dirk Eddelbuettel, Jeffrey A. Ryan, Garrett See |

LazyLoad | yes |

License | GPL-3 |

ByteCompile | TRUE |

depends | blotter (>= 0.7.2) , FinancialInstrument (>= 0.12.5) , foreach (>= 1.4.0) , TTR (>= 0.2) , xts (>= 0.8-2) |

suggests | PerformanceAnalytics , PortfolioAnalytics , rgl , testthat , xtsExtra |

Contributors | Peter Carl, Jan Humme, Joshua Ulrich, Brian Peterson |

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