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quantico

The goal of quantico determine an investment strategy that optimizes financial returns

Installation

You can install quantico from github with:

# install.packages("devtools")
devtools::install_github("AndreMikulec/quantico")

Idea is based on . . .

How to backtest a strategy in R https://www.r-bloggers.com/how-to-backtest-a-strategy-in-r/ http://blog.fosstrading.com/2011/03/how-to-backtest-strategy-in-r.html

# (1) data 'value' (try to optimize)
addWilshire5000LogReturns() %>%      # will5000idxlogrets
addCashLogReturns           %>%      # cashlogrets

# (2) indicator(s)
addUnRateEomData %>%                        # unrate

# (3) use indicator(s)(unrate) to make rules:signals(weights)
addWillShire5000Wts  %>%             # will5000logrets_wts
addCashWts           %>%             # cashlogres_wts (excess)
printTail("UnRateEyeBall") %>%

# (4) apply in action
portfolioMonthlyReturns %>%

# (5) evaluate performance
printCalendar("UnRateEyeBall")

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