quantstrat: Quantitative Strategy Model Framework

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

AuthorPeter Carl, Brian G. Peterson, Joshua Ulrich, Jan Humme
Date of publication2016-04-17 18:25:28
MaintainerBrian G. Peterson <brian@braverock.com>
LicenseGPL-3
Version0.9.1739

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

Functions

add.distribution Man page
add.distribution.constraint Man page
add.indicator Man page
add.init Man page
addOrder Man page
addPosLimit Man page
add.rule Man page
add.signal Man page
applyIndicators Man page
applyIndicatorSignals Man page
applyParameter Man page
apply.paramset Man page
apply.paramset.signal.analysis Man page
applyRules Man page
applySignals Man page
applyStrategy Man page
applyStrategy.rebalancing Man page
BBands Man page
beanplot.signals Man page
chart.forward Man page
chart.forward.training Man page
delete.paramset Man page
distributional.boxplot Man page
enable.rule Man page
Faber Man page
get.orderbook Man page
getOrderBook Man page
getOrders Man page
getParameterTable Man page
getPosLimit Man page
get.strategy Man page
getStrategy Man page
initOrders Man page
initStrategy Man page
initSymbol Man page
is.strategy Man page
load.strategy Man page
match.names Man page
osMaxPos Man page
osNoOp Man page
paramConstraint Man page
post.signal.returns Man page
put.orderbook Man page
put.strategy Man page
quantstrat Man page
quantstrat-package Man page
rm.strat Man page
ruleOrderProc Man page
rulePctEquity Man page
ruleRevoke Man page
ruleSignal Man page
save.strategy Man page
setParameterConstraint Man page
setParameterDistribution Man page
sigComparison Man page
sigCrossover Man page
sigFormula Man page
signal.generate.statistics Man page
signal.obj.slope Man page
signal.path.plot Man page
signal.plot Man page
sigPeak Man page
sigThreshold Man page
sigTimestamp Man page
stratBBands Man page
strategy Man page
stratFaber Man page
tradeGraphs Man page
tradeOrderStats Man page
updateOrders Man page
updateStrategy Man page
walk.forward Man page

Files

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

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