59 search results for "quantstrat"

Nuts and Bolts of Quantstrat, Part IV

September 24, 2014
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Nuts and Bolts of Quantstrat, Part IV

This post will provide an introduction to the way that rules work in quantstrat. It will detail market orders along … Continue reading →

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Nuts and Bolts of Quantstrat, Part III

September 20, 2014
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Nuts and Bolts of Quantstrat, Part III

This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as … Continue reading →

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Nuts and Bolts of Quantstrat, Part II

September 16, 2014
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Nuts and Bolts of Quantstrat, Part II

Last week, I covered the boilerplate code in quantstrat. This post will cover parameters and adding indicators to strategies in … Continue reading →

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Nuts and Bolts of Quantstrat, Part I

September 8, 2014
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Nuts and Bolts of Quantstrat, Part I

Recently, I gave a webinar on some introductory quantstrat. Here’s the link. So to follow up on it, I’m going … Continue reading →

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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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