/alphaLib

alphaModel library

Primary LanguageR

alphaLib

alphaLib is a library of R functions for defining trading strategies and for performing backtesting (both in-sample and out-of-sample).
alphaLib can be thought of as a simpler and lighter version of the quantstrat package from the TradeAnalytics project.
alphaLib functions can be used in conjunction with other packages like TTR, PerformanceAnalytics, and quantmod.

List of files:

  • alphaModel.R contains the core alphaModel library functions,
  • chartLib.R contains functions for time series data plotting,
  • chartLib.new.R contains new versions of functions for time series data plotting,
  • dataLib.R contains functions for reading and writing time series data from/to OneTick,
  • funcUtil.R contains various utility functions,
  • utilLib.R contains generic utility functions for handling strings, xts objects, etc.,
  • optimLib.R contains functions for portfolio optimization, objective functions for optimization of model parameters,
  • riskLib.R contains functions for calculating portfolio risk/return statistics (variance, correlation, Hurst exponent), and for running risk/return statistics,
  • retiredLib.R contains deprecated functions.