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Trading: Trade Objects, Advanced Correlation & Beta Estimates, Betting Strategies
Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on a state/space algorithm. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, Credit Support Annex and add-on tables. The implementation follows an object oriented logic whereby each trade inherits from more abstract classes while also the curves/tables are objects. Furthermore, odds calculators and P&L back-testing functionality has been implemented for the most widely used betting/trading strategies including martingale, 'DAlembert', 'Labouchere' and Fibonacci. Back testing has also been included for the 'EuroMillions', the 'EuroJackpot', the UK Lotto, the Set For Life and the UK 'ThunderBall' lotteries. Furthermore, some basic functionality about climate risk has been included.
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Package details |
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| Author | Tasos Grivas [aut, cre] |
| Maintainer | Tasos Grivas <info@openriskcalculator.com> |
| License | GPL-3 |
| Version | 3.2 |
| URL | https://openriskcalculator.com/ |
| Package repository | View on CRAN |
| Installation |
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