Introduction | System overview | Configuration | Preparing input data | Loading required packages | Security reference | Alpha and factor inputs | Market data | Strategy specification | Strategy alpha | Market value constraints | Position size constraints | Liquidity constraints | Factor constraints | Category exposure constraints | Turnover limit | Target weight policy | Constraint loosening | Simulator settings | Date range | Solver | Participation rate limit | Transaction costs | Financing costs | Running the simulation | Viewing summary statistics | Plotting results | Portfolio returns | Market values | Category exposures | Factor exposures | Appendix: file-based inputs
Package: strand 0.2.3
Jeff Enos
strand: A Framework for Investment Strategy Simulation
Provides a framework for performing discrete (share-level) simulations of investment strategies. Simulated portfolios optimize exposure to an input signal subject to constraints such as position size and factor exposure. For background see L. Chincarini and D. Kim (2010, ISBN:978-0-07-145939-6) "Quantitative Equity Portfolio Management".
Authors:
strand_0.2.3.tar.gz
strand_0.2.3.zip(r-4.7)strand_0.2.3.zip(r-4.6)strand_0.2.3.zip(r-4.5)
strand_0.2.3.tgz(r-4.6-any)strand_0.2.3.tgz(r-4.5-any)
strand_0.2.3.tar.gz(r-4.7-any)strand_0.2.3.tar.gz(r-4.6-any)
strand_0.2.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
strand/json (API)
| # Install 'strand' in R: |
| install.packages('strand', repos = c('https://strand-tech.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/strand-tech/strand/issues
Datasets:
- sample_inputs - Sample security inputs for examples and testing
- sample_pricing - Sample security pricing data for examples and testing
- sample_secref - Sample security reference data for examples and testing
Last updated from:5a3459e47c. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 213 | ||
| source / vignettes | OK | 246 | ||
| linux-release-x86_64 | OK | 196 | ||
| macos-release-arm64 | OK | 205 | ||
| macos-oldrel-arm64 | OK | 163 | ||
| windows-devel | OK | 139 | ||
| windows-release | OK | 130 | ||
| windows-oldrel | OK | 132 | ||
| wasm-release | OK | 168 |
Exports:example_shiny_appexample_strategy_configPortOptSimulation
Dependencies:arrowassertthatbitbit64clicpp11dplyrfarvergenericsggplot2gluegtableisobandlabelinglatticelifecyclelubridatemagrittrMatrixpillarpkgconfigpurrrR6RColorBrewerRglpkrlangS7scalesslamstringistringrtibbletidyrtidyselecttimechangeutf8vctrsviridisLitewithryaml
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| strand: a framework for investment strategy simulation | strand-package strand |
| Run an example shiny app | example_shiny_app |
| Load example strategy configuration | example_strategy_config |
| Make Basic Flextable | make_ft |
| Portfolio optimization class | PortOpt |
| Sample security inputs for examples and testing | sample_inputs |
| Sample security pricing data for examples and testing | sample_pricing |
| Sample security reference data for examples and testing | sample_secref |
| Show Best/Worst Performers | show_best_worst |
| Show Strategy Configuration | show_config |
| Show Strategy Constraints | show_constraints |
| Show monthly returns | show_monthly_returns |
| Show Overall Stats Table | show_stats |
| Simulation class | Simulation |
