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".


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Reference manual

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install.packages("strand")

0.2.0 by Jeff Enos, 8 months ago


https://github.com/strand-tech/strand


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  


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