sample_inputs

A dataset containing sample (fake) security input data for 500 securities and
63 weekdays, from 2019-01-02 to 2019-03-29.

datasets

Provides a framework for performing discrete (share-level) simulations of
investment strategies. Simulated portfolios optimize exposure to an input signal subject
to constraints such as position size and factor exposure.

Jeff Enos

strand

A Framework for Investment Strategy Simulation

David Kane

Strand Technologies, Inc. 

sample_inputs function

A data frame with 31500 rows and 9 variables:<dl class="dl-horizontal">
 <dt>id</dt><dd>security identifier</dd>
 <dt>date</dt><dd>input date</dd>
 <dt>average_volume</dt><dd>measurement of average security trading volume, in shares</dd>
 <dt>alpha_1</dt><dd>sample numeric alpha input</dd>
 <dt>alpha_2</dt><dd>sample numeric alpha input</dd>
 <dt>factor_1</dt><dd>sample numeric factor input</dd>
 <dt>factor_2</dt><dd>sample numeric factor input</dd>
 <dt>factor_3</dt><dd>sample numeric factor input</dd>
 <dt>factor_4</dt><dd>sample numeric factor input</dd>
</dl>

Format

Sample security inputs for examples and testing — sample_inputs

A data frame with 31500 rows and 9 variables:<dl class='dl-horizontal'>
 <dt>id</dt><dd>security identifier</dd>
 <dt>date</dt><dd>input date</dd>
 <dt>average_volume</dt><dd>measurement of average security trading volume, in shares</dd>
 <dt>alpha_1</dt><dd>sample numeric alpha input</dd>
 <dt>alpha_2</dt><dd>sample numeric alpha input</dd>
 <dt>factor_1</dt><dd>sample numeric factor input</dd>
 <dt>factor_2</dt><dd>sample numeric factor input</dd>
 <dt>factor_3</dt><dd>sample numeric factor input</dd>
 <dt>factor_4</dt><dd>sample numeric factor input</dd>
</dl>

sample_inputs: Sample security inputs for examples and testing

Description

Usage

Arguments

Format