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
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Type Package
Date $Date$
Contributors Yu Chen, Joe Dunn, Dirk Eddelbuettel, Jeffrey A. Ryan, Garrett See
LazyLoad yes
License GPL-3
ByteCompile TRUE

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