Man pages for quants-ch/Strategy
Generic Framework to Analyze Trading Strategies
| assets | Random walks for 10 assets as example data. |
| backtest | Backtest Strategy |
| compare | Compare performance of 'Strategy'-objects. |
| ES | Expected Shortfall |
| getBacktestSetup | Get backtest parameter values from 'Strategy'-object |
| getCosts | Get strategy function from 'Strategy'-object |
| getFilters | Get strategy values from 'Strategy'-object |
| getIndicators | Get indicators from 'Strategy'-object |
| getParameters | Get strategy function parameters from 'Strategy'-object |
| getPrices | Get price data from 'Strategy'-object |
| getSignals | Get trading signals from 'Strategy'-object |
| getStratFUN | Get strategy function from 'Strategy'-object |
| getStratName | Get strategy function name from 'Strategy'-object |
| getTrades | Get trades according to the signals from the... |
| getWeights | Get weights from 'Strategy'-object |
| hitratio | Strategy Hit Ratio |
| loss | Get the losses of assets or portfolio over time. |
| MDD | Strategy Performance Maximum Drawdown |
| newStrategyFunction | Create Own Strategy |
| performance | Get Strategy Performance |
| performanceIndicators | Strategy Performance Indicators |
| plot | Plot of a 'Strategy'-object |
| plotDrawdowns | Plot Strategy Drawdowns |
| plotPerformance | Plot Strategy Performance |
| plotWeights | Plot Strategy Weights |
| sharpe | Get Sharpe Ratio of Performance |
| Strategy | Create Strategy Object |
| Strategy-class | 'Strategy'-Class |
| VaR | Value at Risk |
