SCM

SCM Repository

[blotter] Log of /pkg/quantstrat/NAMESPACE
[blotter] / pkg / quantstrat / NAMESPACE  
ViewVC logotype

Log of /pkg/quantstrat/NAMESPACE

Parent Directory Parent Directory


Links to HEAD: (view) (download) (annotate)
Sticky Revision:

Revision 1739 - (view) (download) (annotate) - [select for diffs]
Modified Sat Mar 26 15:10:30 2016 UTC (3 years, 1 month ago) by bodanker
File length: 1975 byte(s)
Diff to previous 1715
Add base imports, roxygenize docs, bump version

Revision 1715 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 14 23:36:49 2015 UTC (3 years, 6 months ago) by bodanker
File length: 1552 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, 6 months ago) by bodanker
File length: 1525 byte(s)
Diff to previous 1708
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 1708 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 1 17:40:34 2015 UTC (3 years, 6 months ago) by bodanker
File length: 1533 byte(s)
Diff to previous 1707
Missed foreach import

Revision 1707 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 1 17:01:52 2015 UTC (3 years, 6 months ago) by bodanker
File length: 1517 byte(s)
Diff to previous 1673
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 1673 - (view) (download) (annotate) - [select for diffs]
Modified Wed Jan 21 11:22:28 2015 UTC (4 years, 3 months ago) by michaelguan326
File length: 1432 byte(s)
Diff to previous 1663
Exported necessary functions to make Signal Analysis demos work.

Revision 1663 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 31 13:19:05 2014 UTC (4 years, 4 months ago) by michaelguan326
File length: 1240 byte(s)
Diff to previous 1657
New Signal Analysis Module

Revision 1657 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 29 13:39:24 2014 UTC (4 years, 5 months ago) by braverock
File length: 1174 byte(s)
Diff to previous 1652
- update roxygen docs
- deprecate old applyParameter code
- update backtest paper

Revision 1652 - (view) (download) (annotate) - [select for diffs]
Modified Wed Nov 19 16:51:17 2014 UTC (4 years, 6 months ago) by bodanker
File length: 1281 byte(s)
Diff to previous 1648
- Remove phantom function roxygen created

Revision 1648 - (view) (download) (annotate) - [select for diffs]
Modified Tue Nov 18 21:47:56 2014 UTC (4 years, 6 months ago) by braverock
File length: 1330 byte(s)
Diff to previous 1595
- add backtest musings sandbox dir
- update roxygen docs

Revision 1595 - (view) (download) (annotate) - [select for diffs]
Modified Sat Mar 29 20:56:08 2014 UTC (5 years, 1 month ago) by braverock
File length: 1258 byte(s)
Diff to previous 1594
- remove traiing function not pushed to R-Forge svn yet

Revision 1594 - (view) (download) (annotate) - [select for diffs]
Modified Sat Mar 29 20:39:45 2014 UTC (5 years, 1 month ago) by braverock
File length: 1257 byte(s)
Diff to previous 1562
- fix rebalancing and rebalancing demos
- update roxygen docs
- bump version

Revision 1562 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 2 18:04:32 2013 UTC (5 years, 6 months ago) by bodanker
File length: 1193 byte(s)
Diff to previous 1556
- replace which(sigThreshold(...))[1] with C-based .firstThreshold function
- only sort dindex if necessary; xts::isOrdered provides a quick check

Revision 1556 - (view) (download) (annotate) - [select for diffs]
Modified Tue Oct 29 13:52:24 2013 UTC (5 years, 6 months ago) by braverock
File length: 1171 byte(s)
Diff to previous 1553
- remove export(applyStrategy.rebalancing.training) errantly added in r1553

Revision 1553 - (view) (download) (annotate) - [select for diffs]
Modified Sun Oct 27 17:33:00 2013 UTC (5 years, 6 months ago) by braverock
File length: 1214 byte(s)
Diff to previous 1544
- make memory usage in applyStrategy more efficient with an environment
- only accumulate ret list if debug=TRUE (replaces verbose arg)

Revision 1544 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 21 18:34:05 2013 UTC (5 years, 6 months ago) by opentrades
File length: 1151 byte(s)
Diff to previous 1512
- 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 1512 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 29 21:02:00 2013 UTC (5 years, 7 months ago) by braverock
File length: 1151 byte(s)
Diff to previous 1511
- remove uncommitted fn

Revision 1511 - (view) (download) (annotate) - [select for diffs]
Modified Sun Sep 29 20:58:46 2013 UTC (5 years, 7 months ago) by braverock
File length: 1194 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, 7 months ago) by braverock
File length: 1130 byte(s)
Diff to previous 1507
- create aliases for come camelCase fns to create more standardization
- clean up some formatting and doc errors

Revision 1507 - (view) (download) (annotate) - [select for diffs]
Modified Mon Sep 16 17:24:52 2013 UTC (5 years, 8 months ago) by opentrades
File length: 1128 byte(s)
Diff to previous 1499
- implemented time-in-force feature


Revision 1499 - (view) (download) (annotate) - [select for diffs]
Modified Mon Aug 26 09:01:15 2013 UTC (5 years, 8 months ago) by opentrades
File length: 1128 byte(s)
Diff to previous 1467
- renamed add.constraint to add.distribution.constraint


Revision 1467 - (view) (download) (annotate) - [select for diffs]
Modified Mon May 13 19:30:22 2013 UTC (6 years ago) by opentrades
File length: 1115 byte(s)
Diff to previous 1453
- chart.forward() improvements
- several small luxor improvements



Revision 1453 - (view) (download) (annotate) - [select for diffs]
Modified Sat May 4 22:46:50 2013 UTC (6 years ago) by opentrades
File length: 1123 byte(s)
Diff to previous 1446
- NAMESPACE not uploaded after enable.rule() implementation due to some conflict here on my svn copy :-S


Revision 1446 - (view) (download) (annotate) - [select for diffs]
Modified Tue Apr 23 22:40:03 2013 UTC (6 years ago) by braverock
File length: 1103 byte(s)
Diff to previous 1445
- fix roxygen comment mixup

Revision 1445 - (view) (download) (annotate) - [select for diffs]
Modified Tue Apr 23 22:23:04 2013 UTC (6 years ago) by braverock
File length: 1351 byte(s)
Diff to previous 1410
- add tradeOrderStats
- update roxygen docs
- update NAMESPACE

Revision 1410 - (view) (download) (annotate) - [select for diffs]
Modified Tue Mar 19 13:10:23 2013 UTC (6 years, 2 months ago) by braverock
File length: 1098 byte(s)
Diff to previous 1385
- alias ruleRevoke to ruleCancel, it will make more sense to those with market experience
- update NAMESPACE

Revision 1385 - (view) (download) (annotate) - [select for diffs]
Modified Mon Jan 28 22:04:22 2013 UTC (6 years, 3 months ago) by opentrades
File length: 1079 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, 3 months ago) by opentrades
File length: 1040 byte(s)
Diff to previous 1382
- added chart.forward() function to visualize portfolio chosen by objective function in relation to all evaluated portfolios


Revision 1382 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jan 24 00:56:18 2013 UTC (6 years, 3 months ago) by opentrades
File length: 1018 byte(s)
Diff to previous 1362
- added packages parameter to apply.paramsets() to allow user to specify extra packages to load


Revision 1362 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jan 15 22:25:10 2013 UTC (6 years, 4 months ago) by opentrades
File length: 1018 byte(s)
Diff to previous 1355
- fixed some undocumented arguments and other R CMD check warnings


Revision 1355 - (view) (download) (annotate) - [select for diffs]
Modified Sun Jan 13 20:07:28 2013 UTC (6 years, 4 months ago) by opentrades
File length: 1018 byte(s)
Diff to previous 1353
- fixed NAMESPACE put.strategy (io store.strategy)


Revision 1353 - (view) (download) (annotate) - [select for diffs]
Modified Sat Jan 12 23:53:37 2013 UTC (6 years, 4 months ago) by opentrades
File length: 1020 byte(s)
Diff to previous 1321
- introduced put.orderbook() for better data abstraction


Revision 1321 - (view) (download) (annotate) - [select for diffs]
Modified Wed Dec 26 22:41:47 2012 UTC (6 years, 4 months ago) by opentrades
File length: 998 byte(s)
Diff to previous 1303
- introduced mode=c('master',slave') for apply.paramset() to specify where updatePortf() should be run, for 
now this implies return of portfolio results in the .blotter and .strategy envs ('master') or as a list 
('slave')
- various other improvements in apply.paramsets, a.o. fixing double return of portfolio data and fixing 
passing complete environments up and down unnecessarily
- adjust walk.forward() to call apply.paramsets(..., mode='slave') in order to prevent name collisions and 
overwriting old portfolio results in the environment  between differents calls of apply.paramsets()
- update some documentation for apply.paramsets()


Revision 1303 - (view) (download) (annotate) - [select for diffs]
Modified Tue Dec 18 23:52:12 2012 UTC (6 years, 5 months ago) by opentrades
File length: 998 byte(s)
Diff to previous 1261
first draft for walk.forward.R


Revision 1261 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 22 02:43:21 2012 UTC (6 years, 5 months ago) by opentrades
File length: 977 byte(s)
Diff to previous 1243
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 1243 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 8 20:54:41 2012 UTC (6 years, 6 months ago) by braverock
File length: 977 byte(s)
Diff to previous 1238
- add rebalance rule rulePctEquity

Revision 1238 - (view) (download) (annotate) - [select for diffs]
Modified Sun Nov 4 14:50:22 2012 UTC (6 years, 6 months ago) by opentrades
File length: 955 byte(s)
Diff to previous 1233
support for orderqty='trigger' to kick in new orderchain


Revision 1233 - (view) (download) (annotate) - [select for diffs]
Modified Thu Nov 1 12:52:25 2012 UTC (6 years, 6 months ago) by braverock
File length: 955 byte(s)
Diff to previous 1231
- add ruleCancel function contributed by Niklas Kolster

Revision 1231 - (view) (download) (annotate) - [select for diffs]
Modified Fri Oct 26 21:07:53 2012 UTC (6 years, 6 months ago) by opentrades
File length: 936 byte(s)
Diff to previous 1229
- various improvements in paramsets.R
- load.strategy() and save.strategy()
- stop() if isMaxPos() called but PosLimit==NULL
- luxor.exists.R creates and stores luxor.RData strategy object in file
- luxor.{StopLoss,StopTrailing,TakeProfit}.R now using stored strategy luxor.RData
- some more documentation


Revision 1229 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 22 22:29:09 2012 UTC (6 years, 6 months ago) by opentrades
File length: 869 byte(s)
Diff to previous 1228
added some roxygen docs to the exported functions for paramsets.R


Revision 1228 - (view) (download) (annotate) - [select for diffs]
Modified Mon Oct 22 22:02:05 2012 UTC (6 years, 6 months ago) by opentrades
File length: 909 byte(s)
Diff to previous 1111
- 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 1111 - (view) (download) (annotate) - [select for diffs]
Modified Tue Jul 31 19:03:41 2012 UTC (6 years, 9 months ago) by opentrades
File length: 740 byte(s)
Diff to previous 810
added tradeGraphs() function

Revision 810 - (view) (download) (annotate) - [select for diffs]
Modified Tue Oct 4 14:43:38 2011 UTC (7 years, 7 months ago) by gsee
File length: 720 byte(s)
Diff to previous 739
 roxygen typos/errors

Revision 739 - (view) (download) (annotate) - [select for diffs]
Modified Thu Aug 25 20:00:10 2011 UTC (7 years, 8 months ago) by braverock
File length: 642 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, 9 months ago) by braverock
File length: 693 byte(s)
Diff to previous 678
- update roxygen docs
- raise dependency for xts to latest stable
- bump version

Revision 678 - (view) (download) (annotate) - [select for diffs]
Modified Mon Jul 11 19:21:28 2011 UTC (7 years, 10 months ago) by braverock
File length: 717 byte(s)
Diff to previous 451
- export parameter testing functions: these are ALPHA code, use at your own risk

Revision 451 - (view) (download) (annotate) - [select for diffs]
Modified Sat Nov 13 18:35:04 2010 UTC (8 years, 6 months ago) by braverock
File length: 529 byte(s)
Diff to previous 422
- update docs, DESCRIPTION, NAMESPACE

Revision 422 - (view) (download) (annotate) - [select for diffs]
Modified Thu Oct 14 19:26:32 2010 UTC (8 years, 7 months ago) by braverock
File length: 509 byte(s)
Diff to previous 369
- add iceberg order type
- impute side in osMaxPos if necessary
- minor typo/bug fixes
- update docs

Revision 369 - (view) (download) (annotate) - [select for diffs]
Modified Thu Aug 12 11:44:00 2010 UTC (8 years, 9 months ago) by braverock
File length: 560 byte(s)
Diff to previous 364
- set default for data param in signals and rules, should simplify strat creation
- update docs
- revise demos to conform to new defaults

Revision 364 - (view) (download) (annotate) - [select for diffs]
Modified Thu Jul 29 15:43:53 2010 UTC (8 years, 9 months ago) by braverock
File length: 541 byte(s)
Diff to previous 323
- update exports

Revision 323 - (view) (download) (annotate) - [select for diffs]
Modified Wed Apr 7 20:21:52 2010 UTC (9 years, 1 month ago) by braverock
File length: 567 byte(s)
Diff to previous 247
- doc and exports updates

Revision 247 - (view) (download) (annotate) - [select for diffs]
Modified Tue Feb 16 22:23:10 2010 UTC (9 years, 3 months ago) by braverock
File length: 516 byte(s)
Diff to previous 242
- add trade rules and position sizing functions + docs for same

Revision 242 - (view) (download) (annotate) - [select for diffs]
Modified Wed Feb 10 22:13:59 2010 UTC (9 years, 3 months ago) by braverock
File length: 445 byte(s)
Diff to previous 241
- multiple updates and new functions to integrate order and rule processing
- update docs and NAMESPACE

Revision 241 - (view) (download) (annotate) - [select for diffs]
Modified Wed Feb 10 02:33:13 2010 UTC (9 years, 3 months ago) by peter_carl
File length: 378 byte(s)
Diff to previous 238
- fixed exports

Revision 238 - (view) (download) (annotate) - [select for diffs]
Modified Mon Feb 8 18:49:06 2010 UTC (9 years, 3 months ago) by braverock
File length: 385 byte(s)
Diff to previous 234
- implement updateOrder fn
- minor revisions of other order documentation

Revision 234 - (view) (download) (annotate) - [select for diffs]
Modified Sun Feb 7 20:10:35 2010 UTC (9 years, 3 months ago) by braverock
File length: 384 byte(s)
Diff to previous 231
- initial revision of orders subsystem, incomplete

Revision 231 - (view) (download) (annotate) - [select for diffs]
Modified Sat Feb 6 12:11:21 2010 UTC (9 years, 3 months ago) by braverock
File length: 282 byte(s)
Diff to previous 228
- add.rule documentation
- multiple documentation updates
- updates to pass R CMD check
- bump version to 0.0.2

Revision 228 - (view) (download) (annotate) - [select for diffs]
Modified Fri Feb 5 16:58:29 2010 UTC (9 years, 3 months ago) by braverock
File length: 265 byte(s)
Diff to previous 224
- implement sigCrossover
- add documentation

Revision 224 - (view) (download) (annotate) - [select for diffs]
Modified Wed Feb 3 21:32:54 2010 UTC (9 years, 3 months ago) by braverock
File length: 244 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, 3 months ago) by peter_carl
File length: 125 byte(s)
- first draft of strategy framework

This form allows you to request diffs between any two revisions of this file. For each of the two "sides" of the diff, enter a numeric revision.

  Diffs between and
  Type of Diff should be a

Sort log by:

root@r-forge.r-project.org
ViewVC Help
Powered by ViewVC 1.0.0  
Thanks to:
Vienna University of Economics and Business Powered By FusionForge