README.md
In sa-ccr/Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies
Trading
Trading R Package
Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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. Some basic functionality about climate risk was also added in the latest version.
If you want to become a contributor to this project, use this code for commercial purposes or for any other queries please contact us at info@openriskcalculator.com
Donate
If you have found this software of use, please consider supporting us by donating below:
sa-ccr/Trading documentation built on Feb. 23, 2024, 9:26 p.m.
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Trading
Trading R Package
Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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. Some basic functionality about climate risk was also added in the latest version.
If you want to become a contributor to this project, use this code for commercial purposes or for any other queries please contact us at info@openriskcalculator.com
Donate
If you have found this software of use, please consider supporting us by donating below:
R Package Documentation
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