CRAN/E | strand

strand

A Framework for Investment Strategy Simulation

Installation

About

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".

github.com/strand-tech/strand
Bug report File report

Key Metrics

Version 0.2.0
R ≥ 3.5.0
Published 2020-11-19 1253 days ago
Needs compilation? no
License GPL-3
CRAN checks strand results

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Maintainer

Maintainer

Jeff Enos

jeffrey.enos@gmail.com

Authors

Jeff Enos

cre / aut / cph

David Kane

aut

Ben Czekanski

ctb

Robert Hoover

ctb

Jack Luby

ctb

Nils Wallin

ctb

Material

README
NEWS
Reference manual
Package source

In Views

Finance

Vignettes

Backtesting with strand

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

strand archive

Depends

R ≥ 3.5.0

Imports

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

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