Man pages for quants-ch/Strategy
Generic Framework to Analyze Trading Strategies

assetsRandom walks for 10 assets as example data.
backtestBacktest Strategy
compareCompare performance of 'Strategy'-objects.
ESExpected Shortfall
getBacktestSetupGet backtest parameter values from 'Strategy'-object
getCostsGet strategy function from 'Strategy'-object
getFiltersGet strategy values from 'Strategy'-object
getIndicatorsGet indicators from 'Strategy'-object
getParametersGet strategy function parameters from 'Strategy'-object
getPricesGet price data from 'Strategy'-object
getSignalsGet trading signals from 'Strategy'-object
getStratFUNGet strategy function from 'Strategy'-object
getStratNameGet strategy function name from 'Strategy'-object
getTradesGet trades according to the signals from the...
getWeightsGet weights from 'Strategy'-object
hitratioStrategy Hit Ratio
lossGet the losses of assets or portfolio over time.
MDDStrategy Performance Maximum Drawdown
newStrategyFunctionCreate Own Strategy
performanceGet Strategy Performance
performanceIndicatorsStrategy Performance Indicators
plotPlot of a 'Strategy'-object
plotDrawdownsPlot Strategy Drawdowns
plotPerformancePlot Strategy Performance
plotWeightsPlot Strategy Weights
sharpeGet Sharpe Ratio of Performance
StrategyCreate Strategy Object
VaRValue at Risk
quants-ch/Strategy documentation built on May 26, 2019, 4:37 p.m.