52 search results for "quantstrat"

A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

August 18, 2014
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A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

So several weeks ago, I decided to listen on a webinar (and myself will be giving one on using quantstrat … Continue reading →

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quantstrat is slow

November 4, 2013
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The complaint I hear most frequently about quantstrat is that it's slow, especially for large data.  Some of this slow performance is due to quantstrat treating all strategies as path-dependent by default.  Path dependence requires rules to b...

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Momentum in R: Part 4 with Quantstrat

February 19, 2013
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Momentum in R: Part 4 with Quantstrat

The past few posts on momentum with R focused on a relatively simple way to backtest momentum strategies. In part 4, I use the quantstrat framework to backtest a momentum strategy. Using quantstrat opens the door to several features and options as well as an order book to check the trades at the completion of … Continue reading...

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Installing quantstrat from R-forge and source

January 10, 2012
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R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. ...

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Installing quantstrat from R-forge and source

January 10, 2012
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Installing quantstrat from R-forge and source

R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the quantstrat package The post Installing...

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A Quantstrat to Build On Part 6

July 5, 2011
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A Quantstrat to Build On Part 6

THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

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REIT Momentum in Quantstrat

June 14, 2011
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REIT Momentum in Quantstrat

I took a short break from quantstrat to do some REIT analysis REITs for Everybody Might Now Mean REITs for Nobody.  Now let’s link the two by incorporating The Aleph Blog momentum bucket strategy in quantstrat. From TimelyPortfolio In ...

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A Quantstrat to Build on Part 5

June 9, 2011
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A Quantstrat to Build on Part 5

Another iteration of the quantstrat system but this time with a sum of standard deviations instead of simple count and then some comparison charts.  Thanks for the comments and I welcome many more.  In my head and it seems like in others base...

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A Quantstrat to Build on Part 4

June 8, 2011
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A Quantstrat to Build on Part 4

When we build a system, we are almost always trying to beat buy and hold by some metric or metrics.  I have not found a demo to compare a quantstrat system with a generic buy and hold system.  Here is the way I accomplish a basic comparison w...

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A Quantstrat to Build on Part 3

June 8, 2011
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A Quantstrat to Build on Part 3

This just does the same thing as A Quantstrat to Build on Part 2, but I use sigCrossover and sigComparison instead of sigThreshold as my signal.  Maybe it will help some struggling to understand implementation of the different signal types.  ...

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