quantstrat: Quantitative Strategy Model Framework

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Specify, build, and back-test quantitative financial trading and portfolio strategies.

Author
Peter Carl, Brian G. Peterson, Joshua Ulrich, Jan Humme
Date of publication
2016-04-17 18:25:28
Maintainer
Brian G. Peterson <brian@braverock.com>
License
GPL-3
Version
0.9.1739

View on R-Forge

Man pages

add.distribution
Adds a distribution to a paramset in a strategy
add.distribution.constraint
Adds a constraint on 2 distributions within a paramset
add.indicator
add an indicator to a strategy
add.init
add arbitrary initialization functions to a strategy
addOrder
add an order to the order book
addPosLimit
add position and level limits at timestamp
add.rule
add a rule to a strategy
add.signal
add a signal to a strategy
applyIndicators
apply the indicators in the strategy to arbitrary market data
applyIndicatorSignals
Calculate Indicators and Signals for a Strategy
applyParameter
Generate parameter sets for a specific strategy, test the...
apply.paramset
Apply a paramset to the strategy
apply.paramset.signal.analysis
Signal Analysis With Parmeter Optimization
applyRules
apply the rules in the strategy to arbitrary market data
applySignals
apply the signals in the strategy to arbitrary market data
applyStrategy
apply the strategy to arbitrary market data
applyStrategy.rebalancing
apply the strategy to arbitrary market data, with periodic...
beanplot.signals
Visualization of Signal Across Lookback with Beanplots
chart.forward
Chart to analyse walk.forward() objective function
chart.forward.training
Chart to analyse walk.forward() objective function
delete.paramset
Delete a paramset from a strategy
distributional.boxplot
Visualization of Single Signal
enable.rule
enable a rule in the strategy
getOrderBook
get the order book object
getOrders
get orders by time span, status, type, and side
getParameterTable
Extract the parameter structure from a strategy object....
getPosLimit
get position and level limits on timestamp
get.strategy
retrieve strategy from the container environment
initOrders
initialize order container
initStrategy
run standard and custom strategy initialization functions
initSymbol
Run standard and custom symbol initialization functions
is.strategy
test to see if object is of type 'strategy'
load.strategy
load a strategy object from disk into memory
match.names
match names in data to a list of partial name matches
osMaxPos
order sizing function for position limits and level sizing
osNoOp
default order sizing function
paramConstraint
Internal function used in applyParameter function for process...
post.signal.returns
Generate Post Signal Returns
put.orderbook
put an orderbook object in .strategy env
put.strategy
put a strategy object in .strategy env
quantstrat-package
Quantitative Strategy Model Framework
rm.strat
Remove objects associated with a strategy
ruleOrderProc
process open orders at time _t_, generating transactions or...
rulePctEquity
rule to base trade size on a percentage of available equity.
ruleRevoke
rule to revoke(cancel) an unfilled limit order on a signal
ruleSignal
default rule to generate a trade order on a signal
save.strategy
save a strategy object from memory onto disk
setParameterConstraint
Function to construct parameter constraint object....
setParameterDistribution
Function used to create an object that contains the...
sigComparison
generate comparison signal
sigCrossover
generate a crossover signal
sigFormula
generate a signal from a formula
signal.generate.statistics
Signal Objective Function Calculation
signal.obj.slope
Signal Objective Function
signal.path.plot
Visualization of Signal Path
signal.plot
Visualization of Signal Across Lookback
sigPeak
signal function for peak/valley signals
sigThreshold
generate a threshold signal
sigTimestamp
generate a signal on a timestamp
stratBBands
Bollinger Bands Strategy
strategy
constructor for objects of type 'strategy'
stratFaber
Faber market timing strategy
tradeGraphs
Draw 3D graphs from tradeStats results using rgl
tradeOrderStats
get order information associated with closing positions
updateOrders
update an order or orders
updateStrategy
run standard and custom strategy wrapup functions such as...
walk.forward
Rolling Walk Forward Analysis

Files in this package

quantstrat/DESCRIPTION
quantstrat/NAMESPACE
quantstrat/R
quantstrat/R/applyStrategy.rebalancing.R
quantstrat/R/chart.forward.R
quantstrat/R/chart.forward.training.R
quantstrat/R/indicators.R
quantstrat/R/initialize.R
quantstrat/R/match.names.R
quantstrat/R/orders.R
quantstrat/R/osFUNs.R
quantstrat/R/parameters.R
quantstrat/R/paramsets.R
quantstrat/R/quantstrat-package.R
quantstrat/R/rebalance.rules.R
quantstrat/R/ruleOrderProc.R
quantstrat/R/ruleRevoke.R
quantstrat/R/ruleSignal.R
quantstrat/R/rules.R
quantstrat/R/signals.R
quantstrat/R/strategy.R
quantstrat/R/tradeGraphs.R
quantstrat/R/tradeOrderStats.R
quantstrat/R/utils.R
quantstrat/R/walk.forward.R
quantstrat/R/wrapup.R
quantstrat/data
quantstrat/data/luxor-p066.RData
quantstrat/data/luxor.parameters.1-10.30-55.RData
quantstrat/data/luxor.timespan.24x24.2002-2008.RData
quantstrat/data/luxor.wfa.ples.RData
quantstrat/data/spx.rda
quantstrat/data/stratBBands.rda
quantstrat/data/stratFaber.rda
quantstrat/demo
quantstrat/demo/00Index
quantstrat/demo/bbandParameters.R
quantstrat/demo/bbands.R
quantstrat/demo/bee.R
quantstrat/demo/faber.R
quantstrat/demo/faberMC.R
quantstrat/demo/faber_rebal.R
quantstrat/demo/luxor.1.strategy.basic.R
quantstrat/demo/luxor.2.add.paramsets.R
quantstrat/demo/luxor.3.paramset.sma.R
quantstrat/demo/luxor.4.paramset.timespan.R
quantstrat/demo/luxor.5.strategy.ordersets.R
quantstrat/demo/luxor.6.paramset.stoploss.R
quantstrat/demo/luxor.6.paramset.stoptrailing.R
quantstrat/demo/luxor.6.paramset.takeprofit.R
quantstrat/demo/luxor.7.exit.and.risk.R
quantstrat/demo/luxor.8.walk.forward.R
quantstrat/demo/luxor.getSymbols.R
quantstrat/demo/luxor.include.R
quantstrat/demo/luxor.sample.MAE.stoploss.R
quantstrat/demo/luxor.sample.MAE.stoptrailing.R
quantstrat/demo/luxor.sample.MFE.takeprofit.R
quantstrat/demo/luxor.sample.tradeGraphs.sma.R
quantstrat/demo/luxor.sample.tradeGraphs.timespan.R
quantstrat/demo/luxor.sample.walk.forward.R
quantstrat/demo/maCross.R
quantstrat/demo/macd.R
quantstrat/demo/macdParameters.R
quantstrat/demo/macdRebalancing.R
quantstrat/demo/pair_trade.R
quantstrat/demo/rocema.R
quantstrat/demo/rsi.R
quantstrat/demo/signal.RSI.R
quantstrat/demo/signal.SMA.R
quantstrat/inst
quantstrat/inst/extdata
quantstrat/inst/extdata/GBPUSD
quantstrat/inst/extdata/GBPUSD/2002.10.21.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.22.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.23.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.24.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.25.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.27.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.28.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.29.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.30.GBPUSD.rda
quantstrat/inst/extdata/GBPUSD/2002.10.31.GBPUSD.rda
quantstrat/inst/extdata/luxor.RData
quantstrat/inst/tests
quantstrat/inst/tests/TEMPLATE_test_demo.R
quantstrat/inst/tests/test_blotter_break.R
quantstrat/inst/tests/test_osMaxPos.R
quantstrat/inst/tests/test_paramsets.R
quantstrat/man
quantstrat/man/add.distribution.Rd
quantstrat/man/add.distribution.constraint.Rd
quantstrat/man/add.indicator.Rd
quantstrat/man/add.init.Rd
quantstrat/man/add.rule.Rd
quantstrat/man/add.signal.Rd
quantstrat/man/addOrder.Rd
quantstrat/man/addPosLimit.Rd
quantstrat/man/apply.paramset.Rd
quantstrat/man/apply.paramset.signal.analysis.Rd
quantstrat/man/applyIndicatorSignals.Rd
quantstrat/man/applyIndicators.Rd
quantstrat/man/applyParameter.Rd
quantstrat/man/applyRules.Rd
quantstrat/man/applySignals.Rd
quantstrat/man/applyStrategy.Rd
quantstrat/man/applyStrategy.rebalancing.Rd
quantstrat/man/beanplot.signals.Rd
quantstrat/man/chart.forward.Rd
quantstrat/man/chart.forward.training.Rd
quantstrat/man/delete.paramset.Rd
quantstrat/man/distributional.boxplot.Rd
quantstrat/man/enable.rule.Rd
quantstrat/man/get.strategy.Rd
quantstrat/man/getOrderBook.Rd
quantstrat/man/getOrders.Rd
quantstrat/man/getParameterTable.Rd
quantstrat/man/getPosLimit.Rd
quantstrat/man/initOrders.Rd
quantstrat/man/initStrategy.Rd
quantstrat/man/initSymbol.Rd
quantstrat/man/is.strategy.Rd
quantstrat/man/load.strategy.Rd
quantstrat/man/match.names.Rd
quantstrat/man/osMaxPos.Rd
quantstrat/man/osNoOp.Rd
quantstrat/man/paramConstraint.Rd
quantstrat/man/post.signal.returns.Rd
quantstrat/man/put.orderbook.Rd
quantstrat/man/put.strategy.Rd
quantstrat/man/quantstrat-package.Rd
quantstrat/man/rm.strat.Rd
quantstrat/man/ruleOrderProc.Rd
quantstrat/man/rulePctEquity.Rd
quantstrat/man/ruleRevoke.Rd
quantstrat/man/ruleSignal.Rd
quantstrat/man/save.strategy.Rd
quantstrat/man/setParameterConstraint.Rd
quantstrat/man/setParameterDistribution.Rd
quantstrat/man/sigComparison.Rd
quantstrat/man/sigCrossover.Rd
quantstrat/man/sigFormula.Rd
quantstrat/man/sigPeak.Rd
quantstrat/man/sigThreshold.Rd
quantstrat/man/sigTimestamp.Rd
quantstrat/man/signal.generate.statistics.Rd
quantstrat/man/signal.obj.slope.Rd
quantstrat/man/signal.path.plot.Rd
quantstrat/man/signal.plot.Rd
quantstrat/man/stratBBands.Rd
quantstrat/man/stratFaber.Rd
quantstrat/man/strategy.Rd
quantstrat/man/tradeGraphs.Rd
quantstrat/man/tradeOrderStats.Rd
quantstrat/man/updateOrders.Rd
quantstrat/man/updateStrategy.Rd
quantstrat/man/walk.forward.Rd
quantstrat/src
quantstrat/src/firstCross.c
quantstrat/tests
quantstrat/tests/run-all.R