assets |
Random walks for 10 assets as example data. |
backtest |
Backtest Strategy |
backtest-method |
Backtest Strategy |
compare |
Compare performance of 'Strategy'-objects. |
compare-method |
Compare performance of 'Strategy'-objects. |
ES |
Expected Shortfall |
ES-method |
Expected Shortfall |
getBacktestSetup |
Get backtest parameter values from 'Strategy'-object |
getBacktestSetup-method |
Get backtest parameter values from 'Strategy'-object |
getCosts |
Get strategy function from 'Strategy'-object |
getCosts-method |
Get strategy function from 'Strategy'-object |
getFilters |
Get strategy values from 'Strategy'-object |
getFilters-method |
Get strategy values from 'Strategy'-object |
getIndicators |
Get indicators from 'Strategy'-object |
getIndicators-method |
Get indicators from 'Strategy'-object |
getParameters |
Get strategy function parameters from 'Strategy'-object |
getParameters-method |
Get strategy function parameters from 'Strategy'-object |
getPrices |
Get price data from 'Strategy'-object |
getPrices-method |
Get price data from 'Strategy'-object |
getSignals |
Get trading signals from 'Strategy'-object |
getSignals-method |
Get trading signals from 'Strategy'-object |
getStratFUN |
Get strategy function from 'Strategy'-object |
getStratFUN-method |
Get strategy function from 'Strategy'-object |
getStratName |
Get strategy function name from 'Strategy'-object |
getStratName-method |
Get strategy function name from 'Strategy'-object |
getTrades |
Get trades according to the signals from the 'Strategy'-object |
getTrades-method |
Get trades according to the signals from the 'Strategy'-object |
getWeights |
Get weights from 'Strategy'-object |
getWeights-method |
Get weights from 'Strategy'-object |
hitratio |
Strategy Hit Ratio |
hitratio-method |
Strategy Hit Ratio |
loss |
Get the losses of assets or portfolio over time. |
loss-method |
Get the losses of assets or portfolio over time. |
MDD |
Strategy Performance Maximum Drawdown |
MDD-method |
Strategy Performance Maximum Drawdown |
newStrategyFunction |
Create Own Strategy |
performance |
Get Strategy Performance |
performance-method |
Get Strategy Performance |
performanceIndicators |
Strategy Performance Indicators |
performanceIndicators-method |
Strategy Performance Indicators |
plot |
Plot of a 'Strategy'-object |
plot-method |
Plot of a 'Strategy'-object |
plot.Strategy |
Plot of a 'Strategy'-object |
plotDrawdowns |
Plot Strategy Drawdowns |
plotDrawdowns-method |
Plot Strategy Drawdowns |
plotPerformance |
Plot Strategy Performance |
plotPerformance-method |
Plot Strategy Performance |
plotWeights |
Plot Strategy Weights |
plotWeights-method |
Plot Strategy Weights |
sharpe |
Get Sharpe Ratio of Performance |
sharpe-method |
Get Sharpe Ratio of Performance |
Strategy |
Create Strategy Object |
Strategy-class |
'Strategy'-Class |
VaR |
Value at Risk |
VaR-method |
Value at Risk |