Inpirical/alphassess: Functions for Assessing Equities Trading Alpha-Signals

Functions for assessing and developing equities trading alpha signals. In particular functions for assessing alphas similar to those found in Kakushadze, Zura, 101 Formulaic Alphas (December 9, 2015). Wilmott Magazine 2016(84) (2016) 72-80, are provided (although those alphas are not reproduced in this package). Alpha argument optimization routines are provided for both window-width and scaling factor variables.

Getting started

Package details

LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
Inpirical/alphassess documentation built on May 26, 2019, 7:27 a.m.