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.

AuthorAndrey 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 publication2016-09-17 07:12:35
MaintainerAndrey Kostin <andrey.kostin@portfolioeffect.com>
LicenseGPL-3
Version1.7
https://www.portfolioeffect.com/

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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