sample_pricing

A dataset containing sample (fake) pricing 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_pricing function

A data frame with 31500 rows and 8 variables:<dl class="dl-horizontal">
 <dt>id</dt><dd>security identifier</dd>
 <dt>date</dt><dd>pricing date</dd>
 <dt>price_unadj</dt><dd>the unadjusted price of the security</dd>
 <dt>prior_close_unadj</dt><dd>the unadjusted prior closing price of the security</dd>
 <dt>dividend_unadj</dt><dd>the dividend for the security on an unadjusted basis</dd>
 <dt>distribution_unadj</dt><dd>the distribution (e.g., spin-off) for the security on an unadjusted basis</dd>
 <dt>volume</dt><dd>trading volume for the security, in shares</dd>
 <dt>adjustment_ratio</dt><dd>the adjustment ratio for the security</dd>
</dl>

Format

Sample pricing data for examples and testing — sample_pricing

A data frame with 31500 rows and 8 variables:<dl class='dl-horizontal'>
 <dt>id</dt><dd>security identifier</dd>
 <dt>date</dt><dd>pricing date</dd>
 <dt>price_unadj</dt><dd>the unadjusted price of the security</dd>
 <dt>prior_close_unadj</dt><dd>the unadjusted prior closing price of the security</dd>
 <dt>dividend_unadj</dt><dd>the dividend for the security on an unadjusted basis</dd>
 <dt>distribution_unadj</dt><dd>the distribution (e.g., spin-off) for the security on an unadjusted basis</dd>
 <dt>volume</dt><dd>trading volume for the security, in shares</dd>
 <dt>adjustment_ratio</dt><dd>the adjustment ratio for the security</dd>
</dl>

sample_pricing: Sample pricing data for examples and testing

Description

Usage

Arguments

Format