Generic Framework to Analyze Trading Strategies

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Documentation for package ‘Strategy’ version 1.0.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

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