PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities. See <https://www.portfolioeffect.com/> for more information on the PortfolioEffect high frequency portfolio analytics platform.

Author
Andrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut], Craig Otis and others [ctb, cph] (OpenFAST library), Daniel Lemire, Muraoka Taro and others [ctb, cph] (JavaFastPFOR library), Joe Walnes, Jorg Schaible and others [ctb, cph] (XStream library), Dain Sundstrom [ctb, cph] (Snappy library), Extreme! Lab, Indiana University [ctb, cph] (XPP3 library), The Apache Software Foundation [ctb, cph] (Apache Log4j and Commons Lang libraries), Google, Inc. [ctb, cph] (GSON library), Free Software Foundation [ctb, cph] (GNU Trove and GNU Crypto libraries)
Date of publication
2016-09-17 07:12:35
Maintainer
Andrey Kostin <andrey.kostin@portfolioeffect.com>
License
GPL-3
Version
1.7
URLs

View on CRAN

Man pages

aapl.data
Sample Price Data
alpha_exante
Alpha
alpha_jensens
Jensen's Alpha
beta
Beta
calmar_ratio
Calmar Ratio
compute
Compute Metrics
correlation
Correlation
covariance
Covariance
create_metric
Create metric class
cumulant
N-th Cumulant
dist_density
Probability Density Function of Portfolio Returns
down_capture_ratio
Down Capture Ratio
down_number_ratio
Down Number Ratio
down_percentage_ratio
Down Percentage Ratio
downside_variance
Downside Variance
expected_downside_return
Expected Downside Return
expected_return
Expected Return
expected_shortfall
Expected Shortfall
expected_upside_return
Expected Upside Return
forecast_apply
Forecast Apply
forecast_builder
Forecast builder
forecast-class
Class '"forecast"'
forecast_input
Forecast Input
fractal_dimension
Fractal Dimension
gain_loss_variance_ratio
Gain Loss Variance Ratio
gain_variance
Gain Variance
hurst_exponent
Hurst Exponent
information_ratio
Information Ratio
kurtosis
Kurtosis
log_return
Returns
loss_variance
Loss Variance
max_drawdown
Max Drawdown
metric-class
Class '"metric"'
mod_sharpe_ratio
Modified Sharpe Ratio
moment
N-th Order Central Moment
omega_ratio
Omega Ratio
optimization_constraint
Portfolio Optimization Constraint
optimization_forecast
Porfolio Optimization - Set Optimization Forecast
optimization_goal
Porfolio Optimization - Set Optimization Goal
optimization_info
Porfolio Optimization - Print Optimization Details
optimization_run
Portfolio Optimization - Runs Optimization Algorithm
optimizer-class
Class '"optimizer"'
portfolio_availableSymbols
Get All Symbol List
portfolio-class
Class '"portfolio"'
portfolio_create
Creates new portfolio
portfolio_defaultSettings
Portfolio Default Settings
portfolio_getPosition
Get position from portfolio
portfolio_getSettings
Get Portfolio Settings
portfolioPlot-class
Class '"portfolioPlot"'
portfolio_settings
Portfolio Settings
position_add
Add position in portfolio
position-class
Class '"position"'
position_list
Portfolio Symbols
position_remove
Remove position from portfolio
price
Price
profit
Profit
quantity
Quantity
rachev_ratio
Rachev Ratio
return_autocovariance
Return Autocovariance
return_jump_size
Return Jump Size
set_quantity
Set Position Quantity
sharpe_ratio
Sharpe Ratio
skewness
Skewness
sortino_ratio
Sortina Ratio
starr_ratio
STARR Ratio
treynor_ratio
Treynor Ratio
txn_costs
Transactional Costs
up_capture_ratio
Up Capture Ratio
up_number_ratio
Up Number Ratio
up_percentage_ratio
Up Percentage Ratio
upside_downside_variance_ratio
Upside/Downside Variance Ratio
upside_variance
Upside Variance
util_cleanCredentials
Clean API Credentials
util_colorScheme
Color scheme for charts
util_dateToPOSIXTime
Date To POSIX Time
util_fillScheme
Fill scheme for charts
util_getComputeTime
Remaining compute time
util_ggplot
Converter of portfolioPlot to ggplot2
util_line2d
Adds line chart to existing plot
util_multiplot
Multiple ggplot2 charts on one page
util_plot2d
Line plot of portfolio metric (for a time series)
util_plot2df
Line plot of portfolio metric (for a dataframe)
util_plotDensity
Line plot of probability density
util_plotTheme
Plot style settings for PortfolioEffect theme
util_POSIXTimeToDate
POSIX Time To Date
util_setCredentials
Set API Credentials
util_summary
Portfolio Summary Plot
value
Value
value_at_risk
Value-at-Risk
variance
Variance
weight
Weight
weight_transform
Weight Transform

Files in this package

PortfolioEffectHFT
PortfolioEffectHFT/inst
PortfolioEffectHFT/inst/java
PortfolioEffectHFT/inst/java/gson-2.2.4.jar
PortfolioEffectHFT/inst/java/trove4j-3.0.3.jar
PortfolioEffectHFT/inst/java/gnu-crypto-2.0.1.jar
PortfolioEffectHFT/inst/java/log4j-1.2.16.jar
PortfolioEffectHFT/inst/java/snappy-0.3.jar
PortfolioEffectHFT/inst/java/xpp3_min-1.1.4c.jar
PortfolioEffectHFT/inst/java/openfast-1.2.0.jar
PortfolioEffectHFT/inst/java/commons-lang-2.4.jar
PortfolioEffectHFT/inst/java/xstream-1.3.jar
PortfolioEffectHFT/inst/java/JavaFastPFOR-0.1.1.jar
PortfolioEffectHFT/inst/java/portfolioeffect-quant-client-1.0.jar
PortfolioEffectHFT/inst/COPYRIGHTS
PortfolioEffectHFT/inst/doc
PortfolioEffectHFT/inst/doc/PortfolioEffectHFT.pdf
PortfolioEffectHFT/inst/doc/PortfolioEffectHFT.Rnw
PortfolioEffectHFT/tests
PortfolioEffectHFT/tests/testthat.R
PortfolioEffectHFT/tests/testthat
PortfolioEffectHFT/tests/testthat/test-util.r
PortfolioEffectHFT/tests/testthat/test-time.r
PortfolioEffectHFT/tests/testthat/test-metric.r
PortfolioEffectHFT/NAMESPACE
PortfolioEffectHFT/demo
PortfolioEffectHFT/demo/portfolio_metrics_demo.R
PortfolioEffectHFT/demo/txnCosts_demo.R
PortfolioEffectHFT/demo/lf_hf_strategy_demo.R
PortfolioEffectHFT/demo/00Index
PortfolioEffectHFT/demo/portfolio_optimization_demo.R
PortfolioEffectHFT/demo/efficient_frontier_demo.R
PortfolioEffectHFT/demo/holding_period_risks_demo.R
PortfolioEffectHFT/demo/alpha_decay_demo.R
PortfolioEffectHFT/NEWS
PortfolioEffectHFT/data
PortfolioEffectHFT/data/goog.data.RData
PortfolioEffectHFT/data/aapl.data.RData
PortfolioEffectHFT/data/spy.data.RData
PortfolioEffectHFT/R
PortfolioEffectHFT/R/onLoad.R
PortfolioEffectHFT/R/plot.R
PortfolioEffectHFT/R/portfolio.R
PortfolioEffectHFT/R/metric.R
PortfolioEffectHFT/R/optimization.R
PortfolioEffectHFT/R/forecast.R
PortfolioEffectHFT/R/message.R
PortfolioEffectHFT/R/util.R
PortfolioEffectHFT/R/position.R
PortfolioEffectHFT/vignettes
PortfolioEffectHFT/vignettes/PortfolioEffectHFT.Rnw
PortfolioEffectHFT/MD5
PortfolioEffectHFT/java
PortfolioEffectHFT/java/README
PortfolioEffectHFT/build
PortfolioEffectHFT/build/vignette.rds
PortfolioEffectHFT/DESCRIPTION
PortfolioEffectHFT/man
PortfolioEffectHFT/man/util_dateToPOSIXTime.Rd
PortfolioEffectHFT/man/gain_variance.Rd
PortfolioEffectHFT/man/down_percentage_ratio.Rd
PortfolioEffectHFT/man/portfolio_defaultSettings.Rd
PortfolioEffectHFT/man/value.Rd
PortfolioEffectHFT/man/optimization_goal.Rd
PortfolioEffectHFT/man/optimization_forecast.Rd
PortfolioEffectHFT/man/upside_variance.Rd
PortfolioEffectHFT/man/value_at_risk.Rd
PortfolioEffectHFT/man/dist_density.Rd
PortfolioEffectHFT/man/treynor_ratio.Rd
PortfolioEffectHFT/man/calmar_ratio.Rd
PortfolioEffectHFT/man/omega_ratio.Rd
PortfolioEffectHFT/man/portfolioPlot-class.Rd
PortfolioEffectHFT/man/weight.Rd
PortfolioEffectHFT/man/mod_sharpe_ratio.Rd
PortfolioEffectHFT/man/util_summary.Rd
PortfolioEffectHFT/man/util_plot2df.Rd
PortfolioEffectHFT/man/variance.Rd
PortfolioEffectHFT/man/portfolio_settings.Rd
PortfolioEffectHFT/man/util_plotDensity.Rd
PortfolioEffectHFT/man/alpha_jensens.Rd
PortfolioEffectHFT/man/skewness.Rd
PortfolioEffectHFT/man/upside_downside_variance_ratio.Rd
PortfolioEffectHFT/man/util_ggplot.Rd
PortfolioEffectHFT/man/position_remove.Rd
PortfolioEffectHFT/man/portfolio_availableSymbols.Rd
PortfolioEffectHFT/man/correlation.Rd
PortfolioEffectHFT/man/position-class.Rd
PortfolioEffectHFT/man/optimization_constraint.Rd
PortfolioEffectHFT/man/util_fillScheme.Rd
PortfolioEffectHFT/man/up_percentage_ratio.Rd
PortfolioEffectHFT/man/position_list.Rd
PortfolioEffectHFT/man/util_plotTheme.Rd
PortfolioEffectHFT/man/util_plot2d.Rd
PortfolioEffectHFT/man/expected_upside_return.Rd
PortfolioEffectHFT/man/forecast_input.Rd
PortfolioEffectHFT/man/downside_variance.Rd
PortfolioEffectHFT/man/weight_transform.Rd
PortfolioEffectHFT/man/util_cleanCredentials.Rd
PortfolioEffectHFT/man/log_return.Rd
PortfolioEffectHFT/man/forecast_apply.Rd
PortfolioEffectHFT/man/up_number_ratio.Rd
PortfolioEffectHFT/man/util_setCredentials.Rd
PortfolioEffectHFT/man/profit.Rd
PortfolioEffectHFT/man/expected_shortfall.Rd
PortfolioEffectHFT/man/portfolio_getSettings.Rd
PortfolioEffectHFT/man/moment.Rd
PortfolioEffectHFT/man/compute.Rd
PortfolioEffectHFT/man/quantity.Rd
PortfolioEffectHFT/man/kurtosis.Rd
PortfolioEffectHFT/man/metric-class.Rd
PortfolioEffectHFT/man/loss_variance.Rd
PortfolioEffectHFT/man/covariance.Rd
PortfolioEffectHFT/man/starr_ratio.Rd
PortfolioEffectHFT/man/sharpe_ratio.Rd
PortfolioEffectHFT/man/down_capture_ratio.Rd
PortfolioEffectHFT/man/aapl.data.Rd
PortfolioEffectHFT/man/sortino_ratio.Rd
PortfolioEffectHFT/man/gain_loss_variance_ratio.Rd
PortfolioEffectHFT/man/return_jump_size.Rd
PortfolioEffectHFT/man/util_POSIXTimeToDate.Rd
PortfolioEffectHFT/man/portfolio-class.Rd
PortfolioEffectHFT/man/fractal_dimension.Rd
PortfolioEffectHFT/man/create_metric.Rd
PortfolioEffectHFT/man/optimization_run.Rd
PortfolioEffectHFT/man/util_colorScheme.Rd
PortfolioEffectHFT/man/txn_costs.Rd
PortfolioEffectHFT/man/price.Rd
PortfolioEffectHFT/man/portfolio_getPosition.Rd
PortfolioEffectHFT/man/beta.Rd
PortfolioEffectHFT/man/optimizer-class.Rd
PortfolioEffectHFT/man/cumulant.Rd
PortfolioEffectHFT/man/forecast-class.Rd
PortfolioEffectHFT/man/rachev_ratio.Rd
PortfolioEffectHFT/man/max_drawdown.Rd
PortfolioEffectHFT/man/down_number_ratio.Rd
PortfolioEffectHFT/man/forecast_builder.Rd
PortfolioEffectHFT/man/optimization_info.Rd
PortfolioEffectHFT/man/up_capture_ratio.Rd
PortfolioEffectHFT/man/position_add.Rd
PortfolioEffectHFT/man/set_quantity.Rd
PortfolioEffectHFT/man/expected_downside_return.Rd
PortfolioEffectHFT/man/return_autocovariance.Rd
PortfolioEffectHFT/man/util_multiplot.Rd
PortfolioEffectHFT/man/portfolio_create.Rd
PortfolioEffectHFT/man/information_ratio.Rd
PortfolioEffectHFT/man/hurst_exponent.Rd
PortfolioEffectHFT/man/alpha_exante.Rd
PortfolioEffectHFT/man/util_line2d.Rd
PortfolioEffectHFT/man/expected_return.Rd
PortfolioEffectHFT/man/util_getComputeTime.Rd