The goal of quantico determine an investment strategy that optimizes financial returns
You can install quantico from github with:
# install.packages("devtools")
devtools::install_github("AndreMikulec/quantico")
Idea is based on . . .
How to backtest a strategy in R https://www.r-bloggers.com/how-to-backtest-a-strategy-in-r/ http://blog.fosstrading.com/2011/03/how-to-backtest-strategy-in-r.html
# (1) data 'value' (try to optimize)
addWilshire5000LogReturns() %>% # will5000idxlogrets
addCashLogReturns %>% # cashlogrets
# (2) indicator(s)
addUnRateEomData %>% # unrate
# (3) use indicator(s)(unrate) to make rules:signals(weights)
addWillShire5000Wts %>% # will5000logrets_wts
addCashWts %>% # cashlogres_wts (excess)
printTail("UnRateEyeBall") %>%
# (4) apply in action
portfolioMonthlyReturns %>%
# (5) evaluate performance
printCalendar("UnRateEyeBall")
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