Package: strand 0.2.0

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:Jeff Enos [cre, aut, cph], David Kane [aut], Ben Czekanski [ctb], Robert Hoover [ctb], Jack Luby [ctb], Nils Wallin [ctb]

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strand.pdf |strand.html✨
strand/json (API)
NEWS

# 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

On CRAN:

6.03 score 24 stars 30 scripts 248 downloads 1 mentions 4 exports 45 dependencies

Last updated 4 years agofrom:9cdc270046. Checks:OK: 3 NOTE: 4. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 12 2024
R-4.5-win	OK	Nov 12 2024
R-4.5-linux	OK	Nov 12 2024
R-4.4-win	NOTE	Nov 12 2024
R-4.4-mac	NOTE	Nov 12 2024
R-4.3-win	NOTE	Nov 12 2024
R-4.3-mac	NOTE	Nov 12 2024

Exports:example_shiny_app example_strategy_config PortOpt Simulation

Dependencies:arrow assertthat bit bit64 cli colorspace cpp11 dplyr fansi farver generics ggplot2 glue gtable isoband labeling lattice lifecycle lubridate magrittr MASS Matrix mgcv munsell nlme pillar pkgconfig purrr R6 RColorBrewer Rglpk rlang scales slam stringi stringr tibble tidyr tidyselect timechange utf8 vctrs viridisLite withr yaml

Backtesting with strand

Jeff Enos and David Kane

Rendered fromstrand.Rmdusingknitr::rmarkdownon Nov 12 2024.

Last update: 2020-11-19
Started: 2020-05-05

Citation

Development and contributors

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