Strategy-class {Strategy}

Strategy-Class

Description

An S4 class to store quantitative strategies and compute various performance figures.

Slots

prices

Price data of the assets. If return data was given within the constructor, starting at 100.

weights

Time series of class xts indicating row wise weights of the assets.

indicators

List of indicators of class xts.

strat

Name of the strategy function to be called. Could be a full file path to a custom strategy.

strat.params

List of parameters as input for the strategy function. List entry names should match parameter names.

stratFUN

Contains the custom strategy function or NULL.

plotFUN

Contains the custom strategy function or NULL.

filters

List with filtered price data (e.g. MA(200)-data).

signals

Time series with trading signals of class xts.

backtest.signals

Time series with trading signals of the backtest of class xts.

backtest.parameters

List of parameters of the backtest.

backtest.setup

Matrix showing the backtest preferences.

volume

Numeric vector indicating the initial investment volume per asset.

costs.fix

Numeric vector indicating the fixed costs per trade per asset.

costs.rel

Numeric vector indicating the relative costs per trade per asset.