strand: A Framework for Investment Strategy Simulation

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".

Version: 0.2.0
Depends: R (≥ 3.5.0)
Imports: R6, Matrix, Rglpk, dplyr, tidyr, arrow, lubridate, rlang, yaml, ggplot2, tibble, methods
Suggests: testthat, knitr, rmarkdown, shiny, shinyFiles, shinyjs, DT, Rsymphony, officer, flextable, plotly
Published: 2020-11-19
Author: Jeff Enos [cre, aut, cph], David Kane [aut], Ben Czekanski [ctb], Robert Hoover [ctb], Jack Luby [ctb], Nils Wallin [ctb]
Maintainer: Jeff Enos <jeffrey.enos at gmail.com>
BugReports: https://github.com/strand-tech/strand/issues
License: GPL-3
URL: https://github.com/strand-tech/strand
NeedsCompilation: no
Materials: README NEWS
CRAN checks: strand results

Downloads:

Reference manual: strand.pdf
Vignettes: Backtesting with strand
Package source: strand_0.2.0.tar.gz
Windows binaries: r-devel: strand_0.2.0.zip, r-release: strand_0.1.3.zip, r-oldrel: strand_0.2.0.zip
macOS binaries: r-release: strand_0.2.0.tgz, r-oldrel: strand_0.2.0.tgz
Old sources: strand archive

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