I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation.  I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Movin...

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...

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 ...

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...

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...

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.  ...

As I explore additional functionality of quantstrat and make changes to my original post A Quantstrat to Build On, I will write multiple posts, and hopefully, the finished product will not be so overwhelming to comprehend.  Also, it might highligh...

THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT TRADE THIS SYSTEM AS IT CAN LOSE SIGNIFICANT AMOUNTS OF MONEY.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. Some R finance powerhouses have been banging away on the quantstrat package for q...