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 |