Quantitative Strategy Model Framework


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Documentation for package ‘quantstrat’ version 0.9.1739

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quantstrat-package Quantitative Strategy Model Framework
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
add.rule add a rule to a strategy
add.signal add a signal to a strategy
addOrder add an order to the order book
addPosLimit add position and level limits at timestamp
apply.paramset Apply a paramset to the strategy
apply.paramset.signal.analysis Signal Analysis With Parmeter Optimization
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 strategy on each set of parameters, output result package. (deprecated)
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 rebalancing
BBands Bollinger Bands Strategy
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
Faber Faber market timing strategy
get.orderbook get the order book object
get.strategy retrieve strategy from the container environment
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. (deprecated)
getPosLimit get position and level limits on timestamp
getStrategy 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 constraints on relationship between two parameter values. (deprecated)
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 Quantitative Strategy Model Framework
rm.strat Remove objects associated with a strategy
ruleOrderProc process open orders at time _t_, generating transactions or new orders
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. (deprecated)
setParameterDistribution Function used to create an object that contains the distribution of parameters to be generated from, before testing parameters of a strategy. (deprecated)
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 updating portfolio, account, and ending equity
walk.forward Rolling Walk Forward Analysis