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".


Reference manual

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0.2.0 by Jeff Enos, a year ago


Report a bug at https://github.com/strand-tech/strand/issues

Browse source code at https://github.com/cran/strand

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

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

Imports R6, Matrix, Rglpk, dplyr, tidyr, arrow, lubridate, rlang, yaml, ggplot2, tibble, methods

Suggests testthat, knitr, rmarkdown, shiny, shinyFiles, shinyjs, DT, Rsymphony, officer, flextable, plotly

See at CRAN