Package: Strategy 1.0.1
Strategy: Generic Framework to Analyze Trading Strategies
Users can build and test customized quantitative trading strategies. Some quantitative trading strategies are already implemented, e.g. various moving-average filters with trend following approaches. The implemented class called "Strategy" allows users to access several methods to analyze performance figures, plots and backtest the strategies. Furthermore, custom strategies can be added, a generic template is available. The custom strategies require a certain input and output so they can be called from the Strategy-constructor.
Authors:
Strategy_1.0.1.tar.gz
Strategy_1.0.1.zip(r-4.5)Strategy_1.0.1.zip(r-4.4)Strategy_1.0.1.zip(r-4.3)
Strategy_1.0.1.tgz(r-4.4-any)Strategy_1.0.1.tgz(r-4.3-any)
Strategy_1.0.1.tar.gz(r-4.5-noble)Strategy_1.0.1.tar.gz(r-4.4-noble)
Strategy_1.0.1.tgz(r-4.4-emscripten)Strategy_1.0.1.tgz(r-4.3-emscripten)
Strategy.pdf |Strategy.html✨
Strategy/json (API)
NEWS
| # Install 'Strategy' in R: |
| install.packages('Strategy', repos = c('https://quantsch.r-universe.dev', 'https://cloud.r-project.org')) |
- assets - Random walks for 10 assets as example data.
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 7 years agofrom:8e20477270. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 27 2024 |
| R-4.5-win | OK | Oct 27 2024 |
| R-4.5-linux | OK | Oct 27 2024 |
| R-4.4-win | OK | Oct 27 2024 |
| R-4.4-mac | OK | Oct 27 2024 |
| R-4.3-win | OK | Oct 27 2024 |
| R-4.3-mac | OK | Oct 27 2024 |
Exports:backtestcompareESgetBacktestSetupgetCostsgetFiltersgetIndicatorsgetParametersgetPricesgetSignalsgetStratFUNgetStratNamegetTradesgetWeightshitratiolossMDDnewStrategyFunctionperformanceperformanceIndicatorsplotDrawdownsplotPerformanceplotWeightssharpeStrategyVaR
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Random walks for 10 assets as example data. | assets |
| Backtest Strategy | backtest backtest,Strategy-method |
| Compare performance of 'Strategy'-objects. | compare compare,Strategy-method |
| Expected Shortfall | ES ES,Strategy-method |
| Get backtest parameter values from 'Strategy'-object | getBacktestSetup getBacktestSetup,Strategy-method |
| Get strategy function from 'Strategy'-object | getCosts getCosts,Strategy-method |
| Get strategy values from 'Strategy'-object | getFilters getFilters,Strategy-method |
| Get indicators from 'Strategy'-object | getIndicators getIndicators,Strategy-method |
| Get strategy function parameters from 'Strategy'-object | getParameters getParameters,Strategy-method |
| Get price data from 'Strategy'-object | getPrices getPrices,Strategy-method |
| Get trading signals from 'Strategy'-object | getSignals getSignals,Strategy-method |
| Get strategy function from 'Strategy'-object | getStratFUN getStratFUN,Strategy-method |
| Get strategy function name from 'Strategy'-object | getStratName getStratName,Strategy-method |
| Get trades according to the signals from the 'Strategy'-object | getTrades getTrades,Strategy-method |
| Get weights from 'Strategy'-object | getWeights getWeights,Strategy-method |
| Strategy Hit Ratio | hitratio hitratio,Strategy-method |
| Get the losses of assets or portfolio over time. | loss loss,Strategy-method |
| Strategy Performance Maximum Drawdown | MDD MDD,Strategy-method |
| Create Own Strategy | newStrategyFunction |
| Get Strategy Performance | performance performance,Strategy-method |
| Strategy Performance Indicators | performanceIndicators performanceIndicators,Strategy-method |
| Plot of a 'Strategy'-object | plot plot,Strategy,missing-method plot.Strategy |
| Plot Strategy Drawdowns | plotDrawdowns plotDrawdowns,Strategy-method |
| Plot Strategy Performance | plotPerformance plotPerformance,Strategy-method |
| Plot Strategy Weights | plotWeights plotWeights,Strategy-method |
| Get Sharpe Ratio of Performance | sharpe sharpe,Strategy-method |
| Create Strategy Object | Strategy |
| 'Strategy'-Class | Strategy-class |
| Value at Risk | VaR VaR,Strategy-method |
