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Revision 1739 - (view) (download) (annotate) - [select for diffs]
Modified Sat Mar 26 15:10:30 2016 UTC (2 years, 11 months ago) by bodanker
File length: 842 byte(s)
Diff to previous 1735
Add base imports, roxygenize docs, bump version

Revision 1735 - (view) (download) (annotate) - [select for diffs]
Modified Fri Mar 25 17:55:39 2016 UTC (2 years, 11 months ago) by bodanker
File length: 829 byte(s)
Diff to previous 1715
Compress and re-save data to appease R CMD check

This is mainly so R CMD check runs faster. This also requires R >= 2.10,
which is many years old and is therefore not a significant issue.

Revision 1715 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 14 23:36:49 2015 UTC (3 years, 4 months ago) by bodanker
File length: 813 byte(s)
Diff to previous 1709
Import iterators::iter

And remove now-unnecessary require() calls. See R-Forge issue #5795.

Revision 1709 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 1 21:36:29 2015 UTC (3 years, 4 months ago) by bodanker
File length: 798 byte(s)
Diff to previous 1707
Fix docs/missed-renaming issues, roxygenize

Document '...' usage in several functions. Add description to
tradeOrderStats. Remove unicode characters from signal plotting docs.
Remove inadvertently committed applyStrategy.rebalancing.training.Rd.

Remove unnecessary quantstrat::: when calling install.param.combo. Fix
typos in signal plotting code and delete.paramset docs.

Apply the following renamings that were missed:
r1499: s/add.constraint/add.distribution.constraint/ (rm .Rd file)
r1673: s/plot.signals/signal.plot/
r1673: s/plot.signal.path/signal.path.plot/

Bump version.

Revision 1707 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 1 17:01:52 2015 UTC (3 years, 4 months ago) by bodanker
File length: 779 byte(s)
Diff to previous 1702
Import package dependencies into namespace

This was prompted by the nonsense that is dplyr::lag, which masks the
stats::lag generic and does not do any method dispatch. dplyr also
masks the first and last generics defined in xts. This should avoid any
issues in quantstrat if dplyr is loaded after xts. Note that user's
non-packaged code will still be affected by package load/attach order.

The above is achieved by creating R/quantstrat-package.R by calling
Rd2roxygen on man/quantstrat-package.Rd, and then adding the necessary
@import directives. Also add the "Generated by roxygen2" to quantstrat-
package.Rd so roxygen will update the file. Update Depends and Imports
in DESCRIPTION (and add a period at the end of the Description so R
CMD check won't pedantically complain).

Revision 1702 - (view) (download) (annotate) - [select for diffs]
Modified Tue Oct 27 20:22:27 2015 UTC (3 years, 4 months ago) by braverock
File length: 759 byte(s)
Diff to previous 1687
- update bbands and bbandsParameters demos to use apply.paramset

Revision 1687 - (view) (download) (annotate) - [select for diffs]
Modified Thu May 21 19:45:04 2015 UTC (3 years, 10 months ago) by braverock
File length: 759 byte(s)
Diff to previous 1669
- remove xtsExtra, since plot is in xts upstream now

Revision 1669 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jan 13 23:03:12 2015 UTC (4 years, 2 months ago) by bodanker
File length: 773 byte(s)
Diff to previous 1665
- Fix bug #5776 (again); thanks to Aylon for the report
  http://stackoverflow.com/q/27912302/271616

Revision 1665 - (view) (download) (annotate) - [select for diffs]
Modified Wed Jan 7 13:23:01 2015 UTC (4 years, 2 months ago) by braverock
File length: 773 byte(s)
Diff to previous 1664
- update Copyright to 2015

Revision 1664 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 31 14:38:01 2014 UTC (4 years, 2 months ago) by braverock
File length: 748 byte(s)
Diff to previous 1663
- update roxygen docs to include new signal generation functions

Revision 1663 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 31 13:19:05 2014 UTC (4 years, 2 months ago) by michaelguan326
File length: 748 byte(s)
Diff to previous 1662
New Signal Analysis Module

Revision 1662 - (view) (download) (annotate) - [select for diffs]
Modified Fri Dec 26 20:13:24 2014 UTC (4 years, 2 months ago) by braverock
File length: 676 byte(s)
Diff to previous 1657
- add notes on data transformation for predictor values, references to Kuhn 2013

Revision 1657 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 29 13:39:24 2014 UTC (4 years, 3 months ago) by braverock
File length: 676 byte(s)
Diff to previous 1648
- update roxygen docs
- deprecate old applyParameter code
- update backtest paper

Revision 1648 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 18 21:47:56 2014 UTC (4 years, 4 months ago) by braverock
File length: 678 byte(s)
Diff to previous 1632
- add backtest musings sandbox dir
- update roxygen docs

Revision 1632 - (view) (download) (annotate) - [select for diffs]
Modified Tue Sep 16 14:00:04 2014 UTC (4 years, 6 months ago) by braverock
File length: 678 byte(s)
Diff to previous 1594
- update faber strategies to fix merge issue, thanks Josh

Revision 1594 - (view) (download) (annotate) - [select for diffs]
Modified Sat Mar 29 20:39:45 2014 UTC (4 years, 11 months ago) by braverock
File length: 675 byte(s)
Diff to previous 1566
- fix rebalancing and rebalancing demos
- update roxygen docs
- bump version

Revision 1566 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 9 00:02:24 2013 UTC (5 years, 4 months ago) by bodanker
File length: 1106 byte(s)
Diff to previous 1544
- allow user-supplied paramsets
- pass '...' to updatePortf and applyStrategy
- don't specify Dates/Prices in updatePorf (they may be in '...')
- set .maxcombine to work if param.combos only has 1 row
- bump version

Revision 1544 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 21 18:34:05 2013 UTC (5 years, 5 months ago) by opentrades
File length: 1107 byte(s)
Diff to previous 1527
- renamed quantstrat/demo/luxor.7.exit+risk.R to luxor.7.exit.and.risk.R to fix problem using demo(luxor.7.risk+exit.R, package='quantstrat') ie. demo name without quotes


Revision 1527 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 14 17:39:24 2013 UTC (5 years, 5 months ago) by braverock
File length: 662 byte(s)
Diff to previous 1511
- clean up use of getPortfolio/.getPortfolio, as appropriate

Revision 1511 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 29 20:58:46 2013 UTC (5 years, 5 months ago) by braverock
File length: 662 byte(s)
Diff to previous 1509
- fix time in force
- minor doc updates
- fix indents in ruleOrderProc.R

Revision 1509 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 22 19:05:29 2013 UTC (5 years, 6 months ago) by braverock
File length: 661 byte(s)
Diff to previous 1467
- create aliases for come camelCase fns to create more standardization
- clean up some formatting and doc errors

Revision 1467 - (view) (download) (annotate) - [select for diffs]
Modified Mon May 13 19:30:22 2013 UTC (5 years, 10 months ago) by opentrades
File length: 1117 byte(s)
Diff to previous 1445
- chart.forward() improvements
- several small luxor improvements



Revision 1445 - (view) (download) (annotate) - [select for diffs]
Modified Tue Apr 23 22:23:04 2013 UTC (5 years, 11 months ago) by braverock
File length: 1125 byte(s)
Diff to previous 1385
- add tradeOrderStats
- update roxygen docs
- update NAMESPACE

Revision 1385 - (view) (download) (annotate) - [select for diffs]
Modified Mon Jan 28 22:04:22 2013 UTC (6 years, 1 month ago) by opentrades
File length: 1101 byte(s)
Diff to previous 1383
- added include.insamples flag to walk.forward() to request including complete in-sample portfolios
- include.insamples==TRUE save all portfolios in file
- added chart.forward.testing() to display all thoe portfolios for comparison
- some preparations preparing for walk.forward() to deal with multi-symbol portfolios
- renamed chart.forward() to chart.forward.training()


Revision 1383 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jan 24 21:12:38 2013 UTC (6 years, 1 month ago) by opentrades
File length: 1062 byte(s)
Diff to previous 1362
- added chart.forward() function to visualize portfolio chosen by objective function in relation to all evaluated portfolios


Revision 1362 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jan 15 22:25:10 2013 UTC (6 years, 2 months ago) by opentrades
File length: 1011 byte(s)
Diff to previous 1303
- fixed some undocumented arguments and other R CMD check warnings


Revision 1303 - (view) (download) (annotate) - [select for diffs]
Modified Tue Dec 18 23:52:12 2012 UTC (6 years, 3 months ago) by opentrades
File length: 988 byte(s)
Diff to previous 1291
first draft for walk.forward.R


Revision 1291 - (view) (download) (annotate) - [select for diffs]
Modified Thu Dec 13 13:04:22 2012 UTC (6 years, 3 months ago) by milktrader
File length: 615 byte(s)
Diff to previous 1283
more testing framework infrastructure

Revision 1283 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 12 17:48:32 2012 UTC (6 years, 3 months ago) by milktrader
File length: 623 byte(s)
Diff to previous 1271
added svUnit and testthat to suggests

Revision 1271 - (view) (download) (annotate) - [select for diffs]
Modified Wed Nov 28 19:02:51 2012 UTC (6 years, 3 months ago) by braverock
File length: 605 byte(s)
Diff to previous 1266
- add offsets for sigComarison/sigCrossover
- update roxygen docs
- bump version

Revision 1266 - (view) (download) (annotate) - [select for diffs]
Modified Mon Nov 26 19:29:01 2012 UTC (6 years, 3 months ago) by braverock
File length: 605 byte(s)
Diff to previous 1261
- fix symbol loop in applyStrategy.rebalancing for rebalancing step
- bump version, remove Collate, turn ByteCompile back on

Revision 1261 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 22 02:43:21 2012 UTC (6 years, 4 months ago) by opentrades
File length: 954 byte(s)
Diff to previous 1260
introduced 'revoked' order status
changed ruleCancel() to ruleRevoke(); revokes all open orders when pos==0
useful eg. with timespan in add.rule() to close open enter orders at end of day


Revision 1260 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 22 02:05:41 2012 UTC (6 years, 4 months ago) by braverock
File length: 609 byte(s)
Diff to previous 1245
- use timestamp rather than character timespan in ruleOrderProc
- remove obsolete code
- add rebalancing examples
- update roxygen docs

Revision 1245 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 8 21:49:34 2012 UTC (6 years, 4 months ago) by braverock
File length: 609 byte(s)
Diff to previous 1238
- add ByteCompile: TRUE

Revision 1238 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 4 14:50:22 2012 UTC (6 years, 4 months ago) by opentrades
File length: 915 byte(s)
Diff to previous 1237
support for orderqty='trigger' to kick in new orderchain


Revision 1237 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 3 16:47:18 2012 UTC (6 years, 4 months ago) by braverock
File length: 591 byte(s)
Diff to previous 1234
- fix support for 'rebalance' rules
- minor documentation updates

Revision 1234 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 1 17:19:19 2012 UTC (6 years, 4 months ago) by braverock
File length: 591 byte(s)
Diff to previous 1228
- bump version, remove Collate

Revision 1228 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 22 22:02:05 2012 UTC (6 years, 5 months ago) by opentrades
File length: 896 byte(s)
Diff to previous 1220
- reworked parameters.R to paramsets.R
- paramset distributions and constraints are now stored in the strategy object
- paramset constraints now also allow for constraints between different components
- still some work to be done on documentation and adapting demos
- introduced utils.R for common functions


Revision 1220 - (view) (download) (annotate) - [select for diffs]
Modified Thu Oct 11 23:37:29 2012 UTC (6 years, 5 months ago) by opentrades
File length: 864 byte(s)
Diff to previous 1208
added 'applyStrategy.rebalancing.R' to DESCRIPTION to fix collate error


Revision 1208 - (view) (download) (annotate) - [select for diffs]
Modified Wed Oct 3 14:53:55 2012 UTC (6 years, 5 months ago) by opentrades
File length: 830 byte(s)
Diff to previous 1204
update documentation on addOrder() for new threshold implementation


Revision 1204 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 30 06:08:52 2012 UTC (6 years, 5 months ago) by braverock
File length: 591 byte(s)
Diff to previous 1203
- remove Collate

Revision 1203 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 30 05:53:17 2012 UTC (6 years, 5 months ago) by braverock
File length: 864 byte(s)
Diff to previous 1111
- update roxygen docs
- fix demo index
- bump version

Revision 1111 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jul 31 19:03:41 2012 UTC (6 years, 7 months ago) by opentrades
File length: 830 byte(s)
Diff to previous 1066
added tradeGraphs() function

Revision 1066 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jun 23 16:46:05 2012 UTC (6 years, 9 months ago) by braverock
File length: 806 byte(s)
Diff to previous 1026
- fixes to better handle orderqty=='all' and defer processing until ruleOrderProc
- remove check for order crossing through zero, that's handed in blotter now
- update roxygen documentation
- bump version

Revision 1026 - (view) (download) (annotate) - [select for diffs]
Modified Fri May 18 17:40:23 2012 UTC (6 years, 10 months ago) by braverock
File length: 806 byte(s)
Diff to previous 1011
- add rule.order option to applyRules
- update roxygen docs
- bump version

Revision 1011 - (view) (download) (annotate) - [select for diffs]
Modified Fri May 4 11:59:09 2012 UTC (6 years, 10 months ago) by braverock
File length: 807 byte(s)
Diff to previous 1008
- bump version, add contributors, change maintainer

Revision 1008 - (view) (download) (annotate) - [select for diffs]
Modified Thu May 3 15:47:08 2012 UTC (6 years, 10 months ago) by gsee
File length: 772 byte(s)
Diff to previous 986
remove pair_trade demo until order-sizing functionality is restored.

Revision 986 - (view) (download) (annotate) - [select for diffs]
Modified Sun Mar 25 19:04:37 2012 UTC (6 years, 11 months ago) by braverock
File length: 772 byte(s)
Diff to previous 961
- allow orderqty='all' for 'risk' orders
- fix 'stoplimit' orders, should be working now, use stoplimit if order price would be through the market on that side at time of order entry, 'limit' otherwise.

Revision 961 - (view) (download) (annotate) - [select for diffs]
Modified Sun Mar 4 19:52:03 2012 UTC (7 years ago) by braverock
File length: 735 byte(s)
Diff to previous 946
- change parameter load to us new FI and loadInstruments that will take a list argument, thanks Garrett

Revision 946 - (view) (download) (annotate) - [select for diffs]
Modified Fri Feb 24 18:01:59 2012 UTC (7 years ago) by braverock
File length: 734 byte(s)
Diff to previous 890
- bump version to 0.6.2

Revision 890 - (view) (download) (annotate) - [select for diffs]
Modified Fri Dec 23 15:32:27 2011 UTC (7 years, 3 months ago) by braverock
File length: 734 byte(s)
Diff to previous 854
- fix code to allow passing of mktdata into applyStrategy, only get() data if argument is missing from call
- prior code would erroneously use the same mktdata for subsequent symbols in a portfolio, even if no mktdata was passed into function
- update roxygen for applyStrategy
- bump version

Revision 854 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 24 18:16:48 2011 UTC (7 years, 3 months ago) by gsee
File length: 732 byte(s)
Diff to previous 846
 - use 'label' as the name of the indicator list in $indicators
 - if 'label' is passed to add.indicator and there already
     exists an indicator by that name, it will be overwritten.
 - if add.indicator is called with label=NULL, label will become
     '<name>.ind'.  If an indicator already exists by that name,
     a unique name will be created by appending a number
 - the 'indexnum' arg can still be used; it can either be the 
     position of the indicator in the list, or its 'label' name.  
 - Before applyIndicators calculates and cbinds indicators, it
     will first check 'mktdata' to see if they already exist.  If
     they do, they will be replaced.  Therefore, mktdata will be
     the same if applyIndicators is called multiple times, or only once.
 - version 0.6

Revision 846 - (view) (download) (annotate) - [select for diffs]
Modified Fri Nov 11 17:22:13 2011 UTC (7 years, 4 months ago) by gsee
File length: 734 byte(s)
Diff to previous 845
mktdata arg was being overwritten

Revision 845 - (view) (download) (annotate) - [select for diffs]
Modified Fri Nov 11 15:10:12 2011 UTC (7 years, 4 months ago) by gsee
File length: 734 byte(s)
Diff to previous 803
bump version

Revision 803 - (view) (download) (annotate) - [select for diffs]
Modified Tue Sep 27 20:41:44 2011 UTC (7 years, 5 months ago) by braverock
File length: 734 byte(s)
Diff to previous 780
- more work on initialization and wrapup functionality for applyStrategy, still commented out in applyStrategy pending more testing

Revision 780 - (view) (download) (annotate) - [select for diffs]
Modified Fri Sep 16 15:07:53 2011 UTC (7 years, 6 months ago) by gsee
File length: 719 byte(s)
Diff to previous 774
 - support for data that is neither OHLC nor BBO
 - allow order price to be zero. (think spreads)

Revision 774 - (view) (download) (annotate) - [select for diffs]
Modified Mon Sep 12 17:08:40 2011 UTC (7 years, 6 months ago) by gsee
File length: 719 byte(s)
Diff to previous 765
 - if add.signal, add.rule, add.indicator is given the name of a strategy, 
   it will getStrategy, update and store it and return the name.
   If given a strategy, it will still return the updated strategy object.
 - roxygenize all except applyParameters.Rd

Revision 765 - (view) (download) (annotate) - [select for diffs]
Modified Fri Sep 9 18:38:36 2011 UTC (7 years, 6 months ago) by gsee
File length: 719 byte(s)
Diff to previous 739
Update Dependencies

Revision 739 - (view) (download) (annotate) - [select for diffs]
Modified Thu Aug 25 20:00:10 2011 UTC (7 years, 6 months ago) by braverock
File length: 735 byte(s)
Diff to previous 724
- update roxygen documentation

Revision 724 - (view) (download) (annotate) - [select for diffs]
Modified Wed Aug 10 16:26:41 2011 UTC (7 years, 7 months ago) by braverock
File length: 735 byte(s)
Diff to previous 654
- update roxygen docs
- raise dependency for xts to latest stable
- bump version

Revision 654 - (view) (download) (annotate) - [select for diffs]
Modified Wed Jun 29 20:46:22 2011 UTC (7 years, 8 months ago) by cyrforge
File length: 684 byte(s)
Diff to previous 625
Add Yu Chen to author

Revision 625 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jun 11 17:42:13 2011 UTC (7 years, 9 months ago) by braverock
File length: 675 byte(s)
Diff to previous 616
- update pricemethod based on feedback from Garrett See
- update roxygen docs
- bump version

Revision 616 - (view) (download) (annotate) - [select for diffs]
Modified Wed Jun 8 17:30:21 2011 UTC (7 years, 9 months ago) by gsee
File length: 654 byte(s)
Diff to previous 548
-orders were being compared to wrong columns to check for fills.
-curIndex was being decremented where it should not have been.
-PLEASE TEST. This is fundamentally a big change.

Revision 548 - (view) (download) (annotate) - [select for diffs]
Modified Fri Feb 4 21:17:03 2011 UTC (8 years, 1 month ago) by braverock
File length: 641 byte(s)
Diff to previous 522
- remove character conversion of timestamp where possible
- minor improvements to dindex dimension reduction
- update roxygen documentation
- increase xts version requirement to 0.7-6.15 to take advantage of improved subsetting and make.index.unique
- bump version

Revision 522 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 2 14:46:43 2011 UTC (8 years, 2 months ago) by braverock
File length: 640 byte(s)
Diff to previous 516
- updates to docs to pass R CMD check
- bump version

Revision 516 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 2 11:08:43 2011 UTC (8 years, 2 months ago) by braverock
File length: 656 byte(s)
Diff to previous 451
- update copyright to 2011

Revision 451 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 13 18:35:04 2010 UTC (8 years, 4 months ago) by braverock
File length: 654 byte(s)
Diff to previous 427
- update docs, DESCRIPTION, NAMESPACE

Revision 427 - (view) (download) (annotate) - [select for diffs]
Modified Fri Oct 22 19:03:06 2010 UTC (8 years, 5 months ago) by braverock
File length: 652 byte(s)
Diff to previous 378
- update DESCRIPTION file dependency on xts to current 0.7-6.1

Revision 378 - (view) (download) (annotate) - [select for diffs]
Modified Fri Aug 20 18:12:00 2010 UTC (8 years, 7 months ago) by braverock
File length: 650 byte(s)
Diff to previous 351
- add summary slot to portfolio object
- move instrument data to $symbols slot
- modify all other code to access in $symbols slot

Revision 351 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jul 13 17:15:56 2010 UTC (8 years, 8 months ago) by braverock
File length: 654 byte(s)
Diff to previous 323
- update docs

Revision 323 - (view) (download) (annotate) - [select for diffs]
Modified Wed Apr 7 20:21:52 2010 UTC (8 years, 11 months ago) by braverock
File length: 638 byte(s)
Diff to previous 269
- doc and exports updates

Revision 269 - (view) (download) (annotate) - [select for diffs]
Modified Fri Feb 26 14:54:16 2010 UTC (9 years ago) by braverock
File length: 623 byte(s)
Diff to previous 247
- update roxygen docs
- updates to pass R CMD check

Revision 247 - (view) (download) (annotate) - [select for diffs]
Modified Tue Feb 16 22:23:10 2010 UTC (9 years, 1 month ago) by braverock
File length: 625 byte(s)
Diff to previous 236
- add trade rules and position sizing functions + docs for same

Revision 236 - (view) (download) (annotate) - [select for diffs]
Modified Mon Feb 8 13:26:31 2010 UTC (9 years, 1 month ago) by braverock
File length: 610 byte(s)
Diff to previous 231
- updated 'Collate' line

Revision 231 - (view) (download) (annotate) - [select for diffs]
Modified Sat Feb 6 12:11:21 2010 UTC (9 years, 1 month ago) by braverock
File length: 604 byte(s)
Diff to previous 224
- add.rule documentation
- multiple documentation updates
- updates to pass R CMD check
- bump version to 0.0.2

Revision 224 - (view) (download) (annotate) - [select for diffs]
Modified Wed Feb 3 21:32:54 2010 UTC (9 years, 1 month ago) by braverock
File length: 574 byte(s)
Diff to previous 222
- add code to add signals
- add arbitrary text labels to signals and indicators
- add to demo code

Revision 222 - (view) (download) (annotate) - [select for diffs]
Added Tue Feb 2 03:25:09 2010 UTC (9 years, 1 month ago) by peter_carl
File length: 546 byte(s)
- first draft of strategy framework

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